Spyros Skouras - Academia.edu (original) (raw)
Papers by Spyros Skouras
Journal of Econometrics, Sep 30, 2008
In this note we show that exact computation of a family of 'max weighted score' estimators can be... more In this note we show that exact computation of a family of 'max weighted score' estimators can be achieved efficiently by reformulating them as mixed integer programs (MIP). The max weighted score estimators include Manski's classic maximum score estimator, but also some other recent estimators that require the optimisation of a large number of (weighted) step functions. The advantage of our MIP formulation is that estimates are exact and can be computed using standard commercial software packages in a reasonable amount of time. Using a MIP solver in Horowitz's (1993) work-trip mode choice application we find that exact estimates lead to a different economic interpretation of the data than do previous heuristic estimates and that such estimates can be effectively computed using our method. Using a Monte Carlo study to explore the domain in which the MIP solver performs well, we find it is most effective in the context of models with 3-5 parameters estimated using 250-1000 observations.
SSRN Electronic Journal, 2000
Studies in Nonlinear Dynamics & Econometrics, 2014
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2000
We establish that the debate between and Levy (2009) has still not resolved the key issue of whet... more We establish that the debate between and Levy (2009) has still not resolved the key issue of whether the distribution of large US urban places in 2000 is consistent with a lognormal for the entire size range. We resolve this by introducing a new distribution function which switches between a lognormal and a power distribution and estimating it with the data used by Eeckhout and Levy (2009). We find that there is a sudden transition from lognormality to power behavior as city populations increase above 100,000. Gibrat's law holds for most cities but a power law holds for most of the population.
SSRN Electronic Journal, 2000
A Companion to Economic Forecasting, 2004
Quantitative Finance, 2013
Abstract We establish empirically using three different definitions of US cities that the upper t... more Abstract We establish empirically using three different definitions of US cities that the upper tail obeys a Pareto law and not a lognormal distribution. We emphasize estimation of a switching point between the body of the city size distribution (which includes most cities) and its upper tail (which includes most of the population).
Journal of Empirical Finance, 2011
We present empirical evidence that there are periodic, specifically daily, structural breaks in t... more We present empirical evidence that there are periodic, specifically daily, structural breaks in the trade direction time series process, a fact with implications for several key intra-day characteristics of markets. We suggest that breaks arise as a consequence of daily variation in order flow direction independently of intra-day events and as a consequence of a natural and widespread daily periodicity
Journal of Econometrics, 2008
In this note we show that exact computation of a family of 'max weighted score' estimators can be... more In this note we show that exact computation of a family of 'max weighted score' estimators can be achieved efficiently by reformulating them as mixed integer programs (MIP). The max weighted score estimators include Manski's classic maximum score estimator, but also some other recent estimators that require the optimisation of a large number of (weighted) step functions. The advantage of our MIP formulation is that estimates are exact and can be computed using standard commercial software packages in a reasonable amount of time. Using a MIP solver in Horowitz's (1993) work-trip mode choice application we find that exact estimates lead to a different economic interpretation of the data than do previous heuristic estimates and that such estimates can be effectively computed using our method. Using a Monte Carlo study to explore the domain in which the MIP solver performs well, we find it is most effective in the context of models with 3-5 parameters estimated using 250-1000 observations.
International Journal of Forecasting, 2009
Under the normal conditions of construction contracts, the client is obliged to pay the contracto... more Under the normal conditions of construction contracts, the client is obliged to pay the contractor in monthly instalments. The amount of each instalment is based on the value of construction work actually produced in the previous month and forecasts are needed in advance of the likely value of these payments. A database of previously completed contracts and payments made is available. A method for forecasting the value of these instalments is described. This method utilises three approaches, termed (1) analytic,(2)...
In this paper we show that optimization of a family of "maximum score type" estimators can be eff... more In this paper we show that optimization of a family of "maximum score type" estimators can be effectively reformulated as a Mixed Integer Programming (MIP) problem. The maximum score type family includes Manski's classic maximum score estimator, but also more recently proposed estimators that optimize profit, utility and absolute deviation objective functions, all of which are similarly irregular in that they are discontinuous in model parameters. The MIP formulation of this family of estimators allows them to be computed exactly using standard commercial software packages such as GAMS. Applying the MIP algorithm to Horowitz's (1993) transport choice model and data we find it compares very favorably to currently used alternatives. Furthermore, our exact estimates lead to a very different interpretation of this data showing that, at least in the context considered, economic interpretation is sensitive to choice of computation procedure. Finally, using simulated data to explore the domain of applicability of the MIP approach, we find it will be most effective in modeling data with 2-5 parameters and 250-1000 observations.
SSRN Electronic Journal, 2000
Journal of Econometrics, Sep 30, 2008
In this note we show that exact computation of a family of 'max weighted score' estimators can be... more In this note we show that exact computation of a family of 'max weighted score' estimators can be achieved efficiently by reformulating them as mixed integer programs (MIP). The max weighted score estimators include Manski's classic maximum score estimator, but also some other recent estimators that require the optimisation of a large number of (weighted) step functions. The advantage of our MIP formulation is that estimates are exact and can be computed using standard commercial software packages in a reasonable amount of time. Using a MIP solver in Horowitz's (1993) work-trip mode choice application we find that exact estimates lead to a different economic interpretation of the data than do previous heuristic estimates and that such estimates can be effectively computed using our method. Using a Monte Carlo study to explore the domain in which the MIP solver performs well, we find it is most effective in the context of models with 3-5 parameters estimated using 250-1000 observations.
SSRN Electronic Journal, 2000
Studies in Nonlinear Dynamics & Econometrics, 2014
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2000
We establish that the debate between and Levy (2009) has still not resolved the key issue of whet... more We establish that the debate between and Levy (2009) has still not resolved the key issue of whether the distribution of large US urban places in 2000 is consistent with a lognormal for the entire size range. We resolve this by introducing a new distribution function which switches between a lognormal and a power distribution and estimating it with the data used by Eeckhout and Levy (2009). We find that there is a sudden transition from lognormality to power behavior as city populations increase above 100,000. Gibrat's law holds for most cities but a power law holds for most of the population.
SSRN Electronic Journal, 2000
A Companion to Economic Forecasting, 2004
Quantitative Finance, 2013
Abstract We establish empirically using three different definitions of US cities that the upper t... more Abstract We establish empirically using three different definitions of US cities that the upper tail obeys a Pareto law and not a lognormal distribution. We emphasize estimation of a switching point between the body of the city size distribution (which includes most cities) and its upper tail (which includes most of the population).
Journal of Empirical Finance, 2011
We present empirical evidence that there are periodic, specifically daily, structural breaks in t... more We present empirical evidence that there are periodic, specifically daily, structural breaks in the trade direction time series process, a fact with implications for several key intra-day characteristics of markets. We suggest that breaks arise as a consequence of daily variation in order flow direction independently of intra-day events and as a consequence of a natural and widespread daily periodicity
Journal of Econometrics, 2008
In this note we show that exact computation of a family of 'max weighted score' estimators can be... more In this note we show that exact computation of a family of 'max weighted score' estimators can be achieved efficiently by reformulating them as mixed integer programs (MIP). The max weighted score estimators include Manski's classic maximum score estimator, but also some other recent estimators that require the optimisation of a large number of (weighted) step functions. The advantage of our MIP formulation is that estimates are exact and can be computed using standard commercial software packages in a reasonable amount of time. Using a MIP solver in Horowitz's (1993) work-trip mode choice application we find that exact estimates lead to a different economic interpretation of the data than do previous heuristic estimates and that such estimates can be effectively computed using our method. Using a Monte Carlo study to explore the domain in which the MIP solver performs well, we find it is most effective in the context of models with 3-5 parameters estimated using 250-1000 observations.
International Journal of Forecasting, 2009
Under the normal conditions of construction contracts, the client is obliged to pay the contracto... more Under the normal conditions of construction contracts, the client is obliged to pay the contractor in monthly instalments. The amount of each instalment is based on the value of construction work actually produced in the previous month and forecasts are needed in advance of the likely value of these payments. A database of previously completed contracts and payments made is available. A method for forecasting the value of these instalments is described. This method utilises three approaches, termed (1) analytic,(2)...
In this paper we show that optimization of a family of "maximum score type" estimators can be eff... more In this paper we show that optimization of a family of "maximum score type" estimators can be effectively reformulated as a Mixed Integer Programming (MIP) problem. The maximum score type family includes Manski's classic maximum score estimator, but also more recently proposed estimators that optimize profit, utility and absolute deviation objective functions, all of which are similarly irregular in that they are discontinuous in model parameters. The MIP formulation of this family of estimators allows them to be computed exactly using standard commercial software packages such as GAMS. Applying the MIP algorithm to Horowitz's (1993) transport choice model and data we find it compares very favorably to currently used alternatives. Furthermore, our exact estimates lead to a very different interpretation of this data showing that, at least in the context considered, economic interpretation is sensitive to choice of computation procedure. Finally, using simulated data to explore the domain of applicability of the MIP approach, we find it will be most effective in modeling data with 2-5 parameters and 250-1000 observations.
SSRN Electronic Journal, 2000