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Stochastic expected utility and prospect theory in a horse race: A finite mixture approach

Bruhin, Adrian - 2008

This study compares the performance of Prospect Theory versus Stochastic Expected Utility Theory at fitting data on … Allais paradox or the fourfold pattern of risk attitudes. Stochastic Expected Utility Theory parsimoniously extends the … standard microeconomic model, whereas Prospect Theory, the benchmark for aggregate choice so far, is based on psychological …

Persistent link: https://www.econbiz.de/10010315494

Empirical likelihood in count data models: The case of endogenous regressors

Boes, Stefan - 2004

Recent advances in the econometric modelling of count data have often been based on the generalized method of moments (GMM). However, the two-step GMM procedure may perform poorly in small samples, and several empirical likelihood-based estimators have been suggested alternatively. In this paper...

Persistent link: https://www.econbiz.de/10010315608

Econometric models of asymmetric ascending auctions

Hong, Han; Shum, Matthew - 2001

We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders' underlying valuations We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined...

Persistent link: https://www.econbiz.de/10010293455

A semiparametric estimator for dynamic optimization models, with an application to a milk quota market

Hong, Han; Shum, Matthew - 2001

We develop a new estimation methodology for dynamic optimization models with unobserved state variables Our approach is semiparametric in the sense of not requiring explicit parametric assumptions to be made concerning the distribution of these unobserved state variables We propose a two-step...

Persistent link: https://www.econbiz.de/10010293462

How to Adjust for Nonignorable Nonresponse: Calibration, Heckit or FIML?

Johansson, Fredrik - 2007

When a survey response mechanism depends on the variable of interest measured within the same survey and observed for only part of the sample, the situation is one of nonignorable nonresponse. Ignoring the nonresponse is likely to generate significant bias in the estimates. To solve this, one...

Persistent link: https://www.econbiz.de/10010321608

Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

Swanson, Norman R.; Chao, John C. - 2003

This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983),...

Persistent link: https://www.econbiz.de/10010263213

The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation

Swanson, Norman R.; Corradi, Valentina - 2003

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Persistent link: https://www.econbiz.de/10010263214

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction

Chao, John C.; Swanson, Norman R. - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10010271942

Cluster sample inference using sensitivity analysis: The case with few groups

Vikström, Johan - 2009

This paper re-examines inference for cluster samples. Sensitivity analysis is proposed as a new method to perform inference when the number of groups is small. Based on estimations using disaggregated data, the sensitivity of the standard errors with respect to the variance of the cluster...

Persistent link: https://www.econbiz.de/10010273962

Well-posedness of measurement error models for self-reported data

An, Yonghong; Hu, Yingyao - 2009

It is widely admitted that the inverse problem of estimating the distribution of a latent variable X* from an observed sample of X, a contaminated measurement of X*, is ill-posed. This paper shows that measurement error models for self-reporting data are well-posed, assuming the probability of...

Persistent link: https://www.econbiz.de/10010277534