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Empirical likelihood-based model selection criteria for moment condition models
Hong, Han; Preston, Bruce; Shum, Matthew - 2001
In this note we propose model selection criteria (MSC) for unconditional moment models using empirical likelihood (EL) statistics in the construction of the MSC The use of EL-statistics in lieu of the more common J-statistics leads to a much more transparent interpretation of the MSC by...
Persistent link: https://www.econbiz.de/10010293457
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Does Benford's law hold in economic research and forecasting?
Günnel, Stefan; Tödter, Karl-Heinz - 2007
First and higher order digits in data sets of natural and socio-economic processes often follow a distribution called Benford's law. This phenomenon has been used in many business and scientific applications, especially in fraud detection for financial data. In this paper, we analyse whether...
Persistent link: https://www.econbiz.de/10010295869
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The cost for the default of a loan : Linking theory and practice
Sibbertsen, Philipp; Weißbach, Rafael - 2004
When calculating the cost of entering into a credit transaction the predominant stochastic component is the expected loss. Often in the credit business the one-year probability of default of the liable counterpart is the only reliable parameter. We use this probability to calculating the exact...
Persistent link: https://www.econbiz.de/10010296616
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Implicit Microfoundations for Macroeconomics
Wright, Ian - 2008
A large market economy has a huge number of degrees of freedom with weak microlevel coordination. The 'implicit microfoundations' approach assumes this property of micro-level interactions more strongly conditions macro-level outcomes compared to the precise details of individual choice...
Persistent link: https://www.econbiz.de/10010298577
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Implicit Microfoundations for Macroeconomics
Wright, Ian - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-19, pp. 1-27
A large market economy has a huge number of degrees of freedom with weak microlevel coordination. The 'implicit microfoundations' approach considers this property of micro-level interactions to more strongly determine macro-level outcomes compared to the precise details of individual choice...
Persistent link: https://www.econbiz.de/10010298637
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On the modelling of speculative prices by stable Paretian distributions and regularly varying tails
Kaehler, Jürgen - 1993
Earlier studies which applied the family of stable Paretian distributions to financial data are inconclusive and contradictory. In this article I estimate the parameters of the model by the Feuerverger-McDunnough method which enables the application of maximum likelihood rhethods. Based on...
Persistent link: https://www.econbiz.de/10010299603
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Expected Utility theory and the tyranny of catastrophic risks
Buchholz, Wolfgang; Schymura, Michael - 2010
Expected Utility theory is not only applied to individual choices but also to ethical decisions, e.g. in cost … EU theory is able to deal with 'catastrophic risks', i.e. risks of high, but very unlikely losses, in an ethically … appealing way. In this paper we show that this is not the case. Rather, if in the framework of EU theory a plausible level of …
Persistent link: https://www.econbiz.de/10010301695
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Entscheidung als notwendige Fiktion: Über eine fundamentale ökonomische Narration
Priddat, Birger P. - 2015
Fiktion notwendig ist, aber eine Fiktion bleibt. Aber was heisst es für die (ökonomische) Theorie der Zukunftsentscheidungen …
Persistent link: https://www.econbiz.de/10011381300
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Unambiguous Events and Dynamic Choquet Preferences
Dominiak, Adam; Lefort, Jean-Philippe - 2009
This paper explores the relationship between dynamic consistency and the existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker's preferences respect...
Persistent link: https://www.econbiz.de/10011422193