A partial dependence factorial analysis to deal with selection bias in observational studis

This thesis presents a creative and practical approach to dealing with the problem of selection bias. Selection bias may be the most important vexing problem in program evaluation or in any line of research that attempts to assert causality. Some of the greatest minds in economics and statistics have scrutinized the problem of selection bias, with the resulting approaches ��� Rubin���s Potential Outcome Approach(Rosenbaum and Rubin,1983; Rubin, 1991,2001,2004) or Heckman���s Selection model (Heckman, 1979) ��� being widely accepted and used as the best fixes. These solutions to the bias that arises in particular from self selection are imperfect, and many researchers, when feasible, reserve their strongest causal inference for data from experimental rather than observational studies. The innovative aspect of this thesis is to propose a data transformation that allows measuring and testing in an automatic and multivariate way the presence of selection bias. The approach involves the construction of a multi-dimensional conditional space of the X matrix in which the bias associated with the treatment assignment has been eliminated. Specifically, we propose the use of a partial dependence analysis of the X-space as a tool for investigating the dependence relationship between a set of observable pre-treatment categorical covariates X and a treatment indicator variable T, in order to obtain a measure of bias according to their dependence structure. The measure of selection bias is then expressed in terms of inertia due to the dependence between X and T that has been eliminated. Given the measure of selection bias, we propose a multivariate test of imbalance in order to check if the detected bias is significant, by using the asymptotical distribution of inertia due to T (Estadella et al. 2005) , and by preserving the multivariate nature of data. Further, we propose the use of a clustering procedure as a tool to find groups of comparable units on which estimate local causal effects, and the use of the multivariate test of imbalance as a stopping rule in choosing the best cluster solution set. The method is non parametric, it does not call for modeling the data, based on some underlying theory or assumption about the selection process, but instead it calls for using the existing variability within the data and letting the data to speak. The idea of proposing this multivariate approach to measure selection bias and test balance comes from the consideration that in applied research all aspects of multivariate balance, not represented in the univariate variable- by-variable summaries, are ignored. The first part contains an introduction to evaluation methods as part of public and private decision process and a review of the literature of evaluation methods. The attention is focused on Rubin Potential Outcome Approach, matching methods, and briefly on Heckman���s Selection Model. The second part focuses on some resulting limitations of conventional methods, with particular attention to the problem of how testing in the correct way balancing. The third part contains the original contribution proposed , a simulation study that allows to check the performance of the method for a given dependence setting and an application to a real data set. Finally, we discuss, conclude and explain our future perspectives.

Securitization and Special Purpose Vehicles in an International Setting: a Systemic View

The present work tries to display a comprehensive and comparative study of the different legal and regulatory problems involved in international securitization transactions. First, an introduction to securitization is provided, with the basic elements of the transaction, followed by the different varieties of it, including dynamic securitization and synthetic securitization structures. Together with this introduction to the intricacies of the structure, a insight into the influence of securitization in the financial and economic crisis of 2007-2009 is provided too; as well as an overview of the process of regulatory competition and cooperation that constitutes the framework for the international aspects of securitization. The next Chapter focuses on the aspects that constitute the foundations of structured finance: the inception of the vehicle, and the transfer of risks associated to the securitized assets, with particular emphasis on the validity of those elements, and how a securitization transaction could be threatened at its root. In this sense, special importance is given to the validity of the trust as an instrument of finance, to the assignment of future receivables or receivables in block, and to the importance of formalities for the validity of corporations, trusts, assignments, etc., and the interaction of such formalities contained in general corporate, trust and assignment law with those contemplated under specific securitization regulations. Then, the next Chapter (III) focuses on creditor protection aspects. As such, we provide some insights on the debate on the capital structure of the firm, and its inadequacy to assess the financial soundness problems inherent to securitization. Then, we proceed to analyze the importance of rules on creditor protection in the context of securitization. The corollary is in the rules in case of insolvency. In this sense, we divide the cases where a party involved in the transaction goes bankrupt, from those where the transaction itself collapses. Finally, we focus on the scenario where a substance over form analysis may compromise some of the elements of the structure (notably the limited liability of the sponsor, and/or the transfer of assets) by means of veil piercing, substantive consolidation, or recharacterization theories. Once these elements have been covered, the next Chapters focus on the regulatory aspects involved in the transaction. Chapter IV is more referred to ���market��� regulations, i.e. those concerned with information disclosure and other rules (appointment of the indenture trustee, and elaboration of a rating by a rating agency) concerning the offering of asset-backed securities to the public. Chapter V, on the other hand, focuses on ���prudential��� regulation of the entity entrusted with securitizing assets (the so-called Special Purpose vehicle), and other entities involved in the process. Regarding the SPV, a reference is made to licensing requirements, restriction of activities and governance structures to prevent abuses. Regarding the sponsor of the transaction, a focus is made on provisions on sound originating practices, and the servicing function. Finally, we study accounting and banking regulations, including the Basel I and Basel II Frameworks, which determine the consolidation of the SPV, and the de-recognition of the securitized asset from the originating company���s balance-sheet, as well as the posterior treatment of those assets, in particular by banks. Chapters VI-IX are concerned with liability matters. Chapter VI is an introduction to the different sources of liability. Chapter VII focuses on the liability by the SPV and its management for the information supplied to investors, the management of the asset pool, and the breach of loyalty (or fiduciary) duties. Chapter VIII rather refers to the liability of the originator as a result of such information and statements, but also as a result of inadequate and reckless originating or servicing practices. Chapter IX finally focuses on third parties entrusted with the soundness of the transaction towards the market, the so-called gatekeepers. In this respect, we make special emphasis on the liability of indenture trustees, underwriters and rating agencies. Chapters X and XI focus on the international aspects of securitization. Chapter X contains a conflicts of laws analysis of the different aspects of structured finance. In this respect, a study is made of the laws applicable to the vehicle, to the transfer of risks (either by assignment or by means of derivatives contracts), to liability issues; and a study is also made of the competent jurisdiction (and applicable law) in bankruptcy cases; as well as in cases where a substance-over-form is performed. Then, special attention is also devoted to the role of financial and securities regulations; as well as to their territorial limits, and extraterritoriality problems involved. Chapter XI supplements the prior Chapter, for it analyzes the limits to the States��� exercise of regulatory power by the personal and ���market��� freedoms included in the US Constitution or the EU Treaties. A reference is also made to the (still insufficient) rules from the WTO Framework, and their significance to the States��� recognition and regulation of securitization transactions.