We use data from the Survey of Professional Forecasters to compare point forecasts of GDP growth and inflation with the subjective probability distributions held by forecasters. We find that SPF forecasters summarize their underlying distributions in different ways and that their summaries tend...

This paper uses Wald's concept of the risk of a statistical decision function to address the question: How should sample data on treatment response be used to guide treatment choices in a heterogeneous population? Statistical treatment rules (STRs) are statistical decision functions that map...

We argue that comprehensive out-of-sample (OOS) evaluation using statistical decision theory (SDT) should replace the current practice of K-fold and Common Task Framework validation in machine learning (ML) research. SDT provides a formal framework for performing comprehensive OOS evaluation...

Investigators of social differentials in health outcomes commonly augment incomplete micro data by appending socioeconomic characteristics of residential areas (such as median income in a zip code) to proxy for individual characteristics. However, little empirical attention has been paid to how...

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method...

Are excess returns predictable and if so, what does this mean for investors? Previous literature has tended toward two polar viewpoints: that predictability is useful only if the statistical evidence for it is incontrovertible, or that predictability should affect portfolio choice, even if the...

This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy...

Testing life-cycle models and other economic models of saving and consumption at micro level requires knowledge of individuals' subjective believes of their mortality risk. Previous studies have shown that individual responses on subjective survival probabilities are generally consistent with...

This paper formulates and estimates a rigorously-justified linear probability model of binary choices over alternatives characterized by unobserved attributes. The model is applied to estimate preferences of congressmen as expressed in their votes on bills. The effective dimension of the...

The paper evaluates the usefulness of a nonparametric approach to Bayesian inference by presenting two applications. The approach is due to Ferguson (1973, 1974) and Rubin (1981). Our first application considers an educational choice problem. We focus on obtaining a predictive distribution for...