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Collective Household Consumption Behavior: Revealed Preference Analysis
Cherchye, Laurens; De Rock, Bram; Vermeulen, Frederic - In: Foundations and Trends(R) in Econometrics 4 (2012) 4, pp. 225-312
We review a nonparametric "revealed preference" methodology for analyzing collective consumption behavior in practical … applications. The methodology allows for accounting for externalities, public consumption, and the use of assignable quantity … information in the consumption analysis. This provides a framework for empirically assessing welfare-related questions that are …
Persistent link: https://www.econbiz.de/10010990811
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Volatility forecasting when the noise variance Is time-varying
Chaker, Selma; Meddahi, Nour - 2013
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...
Persistent link: https://www.econbiz.de/10010225492
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State-Observation Sampling and the Econometrics of Learning Models
Calvet, Laurent E. - 2013
develop an indirect inference-based estimator for a large class of incomplete-information economies. We demonstrate the good …
Persistent link: https://www.econbiz.de/10013093423
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Covariates hiding in the tails
Bachem, Milian; Ergun, Lerby M.; Vries, Casper G. de - 2021 - Last updated: September 29, 2021
Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and...
Persistent link: https://www.econbiz.de/10012627934
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Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus; Winkelmann, Lars - 2013
. We derive a feasible stable limit theorem for a truncated spectral estimator of integrated covariance. A test for common …
Persistent link: https://www.econbiz.de/10009738245
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Identification of causal models with unobservables : a self-report approach
Hu, Yingyao - 2021
This paper presents a novel self-report approach to identify a general causal model with an unobserved covariate, which can be unobserved heterogeneity or an unobserved choice variable. It shows that a carefully designed noninvasive survey procedure can provide enough information to identify the...
Persistent link: https://www.econbiz.de/10012595615
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Impossible inference in econometrics : theory and applications
Bertanha, Marinho; Moreira, Marcelo J. - 2019 - This version: November 14, 2018
This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not distinguishable from the null. We also study settings where it is impossible to have almost surely...
Persistent link: https://www.econbiz.de/10011958082
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The Perils of Antitrust Econometrics : Unrealistic Engel Curves, Inadequate Data, and Aggregation Bias
Lozada, Gabriel - 2023
Some economists argue antitrust policy should be based on empirical methods used by the Industrial Organization subdiscipline of economics, but non-economists must understand that those methods contain certain highly restrictive assumptions. Those assumptions involve econometric...
Persistent link: https://www.econbiz.de/10014348814
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Greening Household Behaviour and Waste
Palatnik, Ruslana; Brody, Sharon; Ayalon, Ofira; … - 2014
This report focusses on the determinants of household waste generation, the separation of recyclables and waste prevention behaviours. It presents the econometric results of follow-up analysis of the 2011 OECD Survey on Environmental Policy and Individual Behaviour Change (EPIC). This report...
Persistent link: https://www.econbiz.de/10011402617
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Greening Household Behaviour : Cross-domain Comparisons in Environmental Attitudes and Behaviours Using Spatial Effects
Brown, Zachary - 2014
Discussions of the importance of public attitudes in shaping policy often lack clear evidence on causal relations between stated attitudes and observed behaviours. The 2011 OECD Survey of over 12,000 households allows analysing households’ environmental attitudes and behaviours in five...
Persistent link: https://www.econbiz.de/10012447255