Showing 1 - 7 of 7
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that the variables are allowed to be residuals from...
Persistent link: https://www.econbiz.de/10005011842
observations of X and Y with the current values of X to generate an assessment of Y is similarity-weighted averaging. It suggests … of Y_{i}, for every i =1,...,n, is the similarity between the vector X_{p}^{1},...,X_{p}^{m}, associated with Y_{p}, and … are determined by the proximity to a similarity-weighted average for a certain similarity function. The axiomatization …
Persistent link: https://www.econbiz.de/10005093957
of beliefs given each of the databases, the belief formation process follows a simple formula: beliefs are a similarity …
Persistent link: https://www.econbiz.de/10005463949
the current values of x to generate an assessment of y is similarity-weighted averaging. It suggests that the predicted … similarity between the vector x_{n+1}^{1},...,x_{n+1}^{m}, associated with y_{n+1}, and the previously observed vector, x_{i}^{1 …},...,x_{i}^{m}. This paper axiomatizes, in terms of the prediction y_{n+1}, a similarity function that is a (decreasing …
Persistent link: https://www.econbiz.de/10005463969
People reason about real-estate prices both in terms of general rules and in terms of analogies to similar cases. We propose to empirically test which mode of reasoning fits the data better. To this end, we develop the statistical techniques required for the estimation of the case-based model....
Persistent link: https://www.econbiz.de/10005593371
A time-varying autoregression is considered with a similarity-based coefficient and possible drift. It is shown that … the random walk model has a natural interpretation as the leading term in a small-sigma expansion of a similarity model … with an exponential similarity function as its autoregressive coefficient. Consistency of the quasi-maximum likelihood …
Persistent link: https://www.econbiz.de/10011184577
This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (SUR) models to a multivariate case including a comprehensive asymptotic theory for estimation of the model's parameters. The extensions are useful because they lead to a generalization of the...
Persistent link: https://www.econbiz.de/10011096425