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Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation
Fair, Ray C. - 2007
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/10012776706
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A Probability Model of the Coincident Economic Indicators
Stock, James H.; Watson, Mark W. - 2021
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/10013249569
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Sources of Entropy in Representative Agent Models
Backus, David K. - 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/10013122464
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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/10013077941
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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/10012950055
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The Influence of Probability on Risky Choice : A Parametric Examination
Lattimore, Pamela K. - 2010
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/10012760030
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Is the Fda Too Conservative or Too Aggressive? : A Bayesian Decision Analysis of Clinical Trial Design
Montazerhodjat, Vahid - 2015
Implicit in the drug-approval process is a trade-off between Type I and Type II error. We explore the application of Bayesian decision analysis (BDA) to minimize the expected cost of drug approval, where relative costs are calibrated using U.S. Burden of Disease Study 2010 data. The results for...
Persistent link: https://www.econbiz.de/10013016659
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Evaluation of Subjective Probability Distributions in the Hrs
Hurd, Michael D.; McGarry, Kathleen M. - 2021
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/10013223066
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Individual Subjective Survival Curves
Gan, Li; Hurd, Michael D.; McFadden, Daniel L. - 2021
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/10013226056
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The "Gambler'S Fallacy" in Lottery Play
Clotfelter, Charles T.; Cook, Philip J. - 2021
The -gambler's fallacy- is the belief that the probability of an event is lowered when that event has recently occurred, even though the probability of the event is objectively known to be independent from one trial to the next. This paper provides evidence on the time pattern of lottery...
Persistent link: https://www.econbiz.de/10013232441