Articles

A Mathematical Turn in Business Regulation: The Rise of Legal Indicators

D. RESTREPO AMARILES

International Journal of Law in Context

Forthcoming


Accurate Methods for Approximate Bayesian Computation Filtering

L. CALVET, V. CZELLAR

Journal of Financial Econometrics

Forthcoming

Departments: Finance, GREGHEC (CNRS), Economics & Decision Sciences

Keywords: bandwidth, kernel density estimation, likelihood estimation, model selection, particle filter, state-space model, value-at-risk forecasts


The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state is intractable. We provide an exact upper bound for the mean squared error of the ABC filter, and derive sufficient conditions on the bandwidth and kernel under which the ABC filter converges to the target distribution as the number of particles goes to infinity. The optimal convergence rate decreases with the dimension of the observation space but is invariant to the complexity of the state space. We show that the adaptive bandwidth commonly used in the ABC literature can lead to an inconsistent filter. We develop a plug-in bandwidth guaranteeing convergence at the optimal rate, and demonstrate the powerful estimation, model selection, and forecasting performance of the resulting filter in a variety of examples

Ambiguity and the Bayesian Approach

I. GILBOA, M. MARINACCI

Advances in Economics and Econometrics: Theory and Applications

Forthcoming

Departments: Economics & Decision Sciences, GREGHEC (CNRS)


An Empirical Investigration of the Impact of Audit and Auditor Characteristics on Audit Performance

W. ALISSA, V. CAPKUN, T. JEANJEAN, N. SUCA

Accounting Organizations and Society

Forthcoming

Departments: Accounting & Management Control, GREGHEC (CNRS)

Keywords: Auditor effort, Auditor experience, Task complexity, Auditor performance, Tax audits


We use a unique and confidential database of 15,392 tax audits performed by the Croatian Tax Administration during the 2002-2006 period to examine the impact of task complexity, auditor experience, and auditor effort on audit performance. We provide external validation to prior experimental and analytical research showing that task complexity decreases while auditor experience and effort increase audit performance. We also extend this literature by examining the roles of task complexity and experience in moderating the impact of the effort on audit performance. We find that task complexity mitigates, while experience enhances the positive relationship between auditor effort and performance. However, we also find that auditor experience reinforces the positive effect of auditor effort on performance to a greater degree when complexity is high. Taken together, our findings provide new evidence on how audit and auditor characteristics impact audit performance, and new insight into how task complexity and auditor experience separately and jointly moderate the impact of auditor effort on performance

Approval Voting and Arrow's Impossibility Theorem

P. MONGIN, F. MANIQUET

Social Choice and Welfare

Forthcoming

Departments: Economics & Decision Sciences, GREGHEC (CNRS)