The CAPM is one of the basic models in finance, combining one-period ahead exogenously given (rational) expectations and mean-variance preferences. This combination results in implications that are heavily criticized, both empirically and theoretically, resulting in a rejection of mean-variance...

The traditional finance approach combines the rational expectations hypothesis with the assumption of no arbitrage. However, the numerous anomalies reported in the finance literature reject this approach. The behavioral finance approach takes rational expectations as the maintained hypothesis...

In many traditional financial and economic models, economic agents are assumed to make decisions using expected lifetime utility under rational expectations, where rational expectations are assumed to be formed on the basis of sufficient knowledge of the data generating process. But the mere...

Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to compare different MS models with each other. For...

In this paper we model expenditure on housing for owners and renters by means of endogenous switching regression models using cross-section data. We explain the share of housing in total expenditure from family characteristics and total expenditure, where the latter is allowed to be endogenous....

We analyse several limited dependent variable models explaining the budget share that Dutch families spend on vacations. To take account of the substantial number of zero shares, two types of models are used. The first is the single-equation censored regression model. We estimate and test...