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Robust decision theory and econometrics

Chamberlain, Gary - In: Annual review of economics 12 (2020), pp. 239-271

Persistent link: https://www.econbiz.de/10012404575

Comment on "Decision theory applied to an instrumental variables model"

Chamberlain, Gary - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1565

Persistent link: https://www.econbiz.de/10003797082

Decision theory applied to linear panel data model

Chamberlain, Gary; Moreira, Marcelo J. - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 1, pp. 107-133

Persistent link: https://www.econbiz.de/10003866981

Decision theory applied to an instrumental variables model

Chamberlain, Gary - In: Econometrica : journal of the Econometric Society, an … 75 (2007) 3, pp. 609-652

Persistent link: https://www.econbiz.de/10003473289

Robust Decision Theory and Econometrics

Chamberlain, Gary - 2020

This review uses the empirical analysis of portfolio choice to illustrate econometric issues that arise in decision problems. Subjective expected utility (SEU) can provide normative guidance to an investor making a portfolio choice. The investor, however, may have doubts on the specification of...

Persistent link: https://www.econbiz.de/10014094675