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Solving the discrete-time stochastic Ramsey model

Elbers, Chris - 2009

This note describes methods for solving deterministic and stochastic versions of the discrete-time Ramsey model of economic growth. We derive an iterative procedure for solving the Euler equation and apply it to an example adapted from Pan (2007).

Persistent link: https://www.econbiz.de/10011377604

Information theoretic optimality of observation driven time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a …

Persistent link: https://www.econbiz.de/10010340740

Finite sample optimality of score-driven volatility models

Blasques, Francisco; Lucas, André; Vlodrop, Andries van - 2017

We study optimality properties in finite samples for time-varying volatility models driven by the score of the … predictive likelihood function. Available optimality results for this class of models suffer from two drawbacks. First, they are … only asymptotically valid when evaluated at the pseudo-true parameter. Second, they only provide an optimality result `on …

Persistent link: https://www.econbiz.de/10011772958

Cooperation in an overlapping generations experiment

Offerman, Theo; Potters, Jan; Verbon, Harry A. A. - 1998

Recent theoretical work shows that folk theorems can be developed for infiniteoverlapping generations games. Cooperation in such games can be sustained as aNash equilibrium. Besides the efficient cooperative equilibrium there is alsothe inefficient non-cooperative equilibrium. This paper...

Persistent link: https://www.econbiz.de/10011301169

Be patient when measuring Hyperbolic Discounting : stationarity, time consistency and time invariance in a field experiment

Janssens, Wendy; Kramer, Berber; Swart, Lisette - 2015

Most evidence of hyperbolic discounting is based on violations of either stationarity or time consistency as observed in choice experiments. These choice reversals may however also result from time-varying discount rates. Hyperbolic discounting is a plausible explanation for choice reversals...

Persistent link: https://www.econbiz.de/10011307819

Risk aversion and the subjective time discount rate : a joint approach

Praag, Bernard M. S. van; Booij, Adam S. - 2003

In this paper we analyze a large sample of individual responses to six lottery questions. Wederive a simultaneous estimate of risk aversion ? and the time preference discount rate ? perindividual. This can be done because the consumption of a large prize is smoothed over a largertime period. It...

Persistent link: https://www.econbiz.de/10011333268

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

We study the role of experience in the formation of asset price bubbles. Therefore, we conduct two related experiments. One is a call market experiment in which participants trade assets with each other. The other is a learning-to-forecast experiment in which participants only forecast future...

Persistent link: https://www.econbiz.de/10011932581

Is there really a green paradox?

Ploeg, Frederick van der; Withagen, Cees - 2012 - Revised 21 June 2012

Optimal climate policy is studied in a Ramsey growth model with exhaustible oil reserves, an infinitelyelastic supply of renewables, stock-dependent oil extraction costs and convex climate damages. Weconcentrate on economies with an initial capital stock below that of the steady state of the...

Persistent link: https://www.econbiz.de/10011380023

Statistics and common sense

Hanaki, Nobuyuki; Magnus, Jan R.; Yoo, Donghoon - 2021

Common sense is a dynamic concept and it is natural that our (statistical) common sense lags behind the development of statistical science. What is not so easy to understand is why common sense lags behind as much as it does. We conduct a survey among Japanese students and try to understand why...

Persistent link: https://www.econbiz.de/10012795343

Eliciting time preferences when income and consumption vary : theory, validation & application to job search

Belot, Michèle; Kircher, Philipp; Muller, Paul - 2021

We propose a simple method for eliciting individual time preferences without estimating utility functions even in settings where background consumption changes over time. It relies on lottery tickets with high rewards. In a standard intertemporal choice model high rewards decouple lottery...

Persistent link: https://www.econbiz.de/10012427701