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Van Biesebroeck, Johannes - 2021

Researchers interested in estimating productivity can choose from an array of methodologies, each with its strengths …, because fundamentally the objective of productivity measurement is to identify output differences that cannot be explained by … technology and erroneous assumptions on the evolution of unobserved productivity. Techniques to control for the endogeneity of …

Persistent link: https://www.econbiz.de/10013245328

A hierarchical Bayesian approach to robust parameter design

Goegebeur, Yuri (contributor); Goos, Peter (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003623807

A parsimonious approach to stochastic mortality modelling with dependent residuals

Mavros, George; Cairns, Andrew; Kleinow, Torsten; … - 2014

Persistent link: https://www.econbiz.de/10010362818

Plausible prior estimation

Mangold, Benedikt - 2014

The problem of selecting a prior distribution when it comes to Bayes estimation often constitutes a choice between conjugate or noninformative priors, since in both cases the resulting posterior Bayes estimator (PBE) can be solved analytically and is therefore easy to calculate. Nevertheless,...

Persistent link: https://www.econbiz.de/10010399846

A Hierarchical Bayesian Approach to Robust Parameter Design

Goegebeur, Yuri - 2008

The goal of robust parameter design experiments is to identify significant location and dispersion factors that can be used to set the mean response at the target level and to decrease the sensitivity of the response to uncontrolled noise factors. We present a hierarchical Bayesian model and use...

Persistent link: https://www.econbiz.de/10012725654

Posterior average effects

Bonhomme, Stéphane; Weidner, Martin - 2021 - Revised draft: September 2021

Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study posterior average effects (PAE), where the average...

Persistent link: https://www.econbiz.de/10012617686

A Robust Approach to Optimal Portfolio Choice with Parameter Uncertainty

Lassance, Nathan; Martin-Utrera, Alberto; Simaan, Majeed - 2021

It is well known that estimated mean-variance portfolios deliver, on average, poor out-of-sample performance. A lesser-known fact that we characterize in this paper is that their out-of-sample performance is also very volatile. Using our analytical characterization of out-of-sample performance...

Persistent link: https://www.econbiz.de/10013226237

Uncertain identification

Giacomini, Raffaella; Kitagawa, Toru; Volpicella, Alessio - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 95-123

Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored in empirical practice. This paper considers uncertainty over models that impose different identifying assumptions, which can lead to a mix of point‐ and set‐identified models. We propose...

Persistent link: https://www.econbiz.de/10012807735

Robustness properties of minimally-supported Bayesian D-optimal designs for heteroscedastic models

Dette, Holger; Song, Dale; Wong, Weng Kee - 2001

Persistent link: https://www.econbiz.de/10009777471

Posterior average effects

Bonhomme, Stéphane; Weidner, Martin - 2019

Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average effects in discrete choice models, or counterfactual simulations in structural models. For such quantities, we propose and study...

Persistent link: https://www.econbiz.de/10012063813

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