and customers are prone to fraudulent behavior of sellers and resulting market inefficiencies. We present the first model … framework. We test the model’s predictions in a laboratory experiment. Both in theory and in the experiment diagnostic …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … management. In particular, it is shown that under certain conditions portfolio returns based on an average model will be more fat …

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

The Generalized Calvo and the Generalized Taylor model of price and wage-setting are, unlike the standard Calvo and … monetary policy transmission by embedding these calibrated models in a standard DSGE model. The Generalized Taylor model is …

parsimonious mixture modeling that allows for fat-tailed errors compared to the normal benchmark case. Applying robust model …This paper investigates the robustness of determinants of economic growth in the presence of model uncertainty …, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and …

This paper explores the properties of pre-test strategies in estimating a linear Cliff-Ord-type spatial model when the … likelihood (ML) estimator of the encompassing model. We find that, even in a very simple setting, the bias of the estimates … error or lag model the issues arising with the pre-test estimators seem to be lessened. …

Robust decision making implies welfare costs or robustness premia when the approximating model is the true data … general equilibrium model with human capital and introduce an additional form of precautionary behavior. The latter arises … from the robust decision maker's ability to reduce the effects of model misspecification through allocating time and …

Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and … model, we introduce a vector error correction model (VECM) of the measurement errors and estimate the model's posterior … the endogenous growth model or the standard real business cycle model better explains the observed variation in these …

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of … technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov … vector autoregressive moving average (VARMA) process to describe the movements and co-movements of the model's errors not …