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Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation
Fair, Ray C. - 1991
This paper shows how probability questions can be answered within the context of macroeconometric models by using stochastic simulation. One can estimate, for example, the probability of a recession occurring within some fixed period in the future. Probability estimates are presented for two...
Persistent link: https://www.econbiz.de/10012475201
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A Probability Model of The Coincident Economic Indicators
Stock, James H. - 1988
The Index of Coincident Economic Indicators, currently compiled by the U.S. Department of Commerce, is designed to measure the state of overall economic activity. The index is constructed as a weighted average of four key macroeconomic time series, where the weights are obtained using rules that...
Persistent link: https://www.econbiz.de/10012476288
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Rationally Inattentive Behavior : Characterizing and Generalizing Shannon Entropy
Caplin, Andrew - 2017
We provide a full behavioral characterization of the standard Shannon model of rational inattention. The key axiom is "Invariance under Compression", which identifies this model as capturing an ideal form of attention-constrained choice. We introduce tractable generalizations that allow for many...
Persistent link: https://www.econbiz.de/10012455030
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Behavioral Implications of Rational Inattention with Shannon Entropy
Caplin, Andrew - 2013
entropy cost functions that better match this feature of the data and that retain key simplifying features of the Shannon …
Persistent link: https://www.econbiz.de/10012459344
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Sources of Entropy in Representative Agent Models
Backus, David - 2011
preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time … dependence, a measure of how entropy varies over different time horizons). We show how each model generates entropy and time … approximations -- clarifies the mechanisms underlying these models. It also reveals, in some cases, tension between entropy, which …
Persistent link: https://www.econbiz.de/10012461438
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Individual Subjective Survival Curves
Gan, Li - 2003
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...
Persistent link: https://www.econbiz.de/10012469223
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On the Validity of Using Census Geocode Characteristics to Proxy Individual Socioeconomic Characteristics
Geronimus, Arline T. - 1995
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...
Persistent link: https://www.econbiz.de/10012473497
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Evaluation of Subjective Probability Distributions in the HRS
Hurd, Michael D. - 1993
In the Health and Retirement Survey respondents were asked about the chances they would live to 75 or to 85, and the chances they would work after age 62 or 65. We analyze the responses to determine if they behave like probabilities, if their averages are close to average probabilities in the...
Persistent link: https://www.econbiz.de/10012474380
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Back to the Future : Generating Moment Implications for Continuous-Time Markov Processes
Hansen, Lars Peter - 1993
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...
Persistent link: https://www.econbiz.de/10012474503
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The Influence Of Probability on Risky Choice : A parametric Examination
Lattimore, Pamela K. - 1992
The appeal of expected utility theory as a basis for a descriptive model of risky decision making has diminished is a …
Persistent link: https://www.econbiz.de/10012474843