Showing 1 - 10 of 11,661
We propose a new methodology for structural estimation of infinite horizon dynamic discrete choice models. We combine the Dynamic Programming (DP) solution algorithm with the Bayesian Markov Chain Monte Carlo algorithm into a single algorithm that solves the DP problem and estimates the...
Persistent link: https://www.econbiz.de/10014047635
Using a laboratory experiment, we investigate whether comovement can emerge between two risky assets, despite their fundamentals not being correlated. The ‘Two trees' asset pricing model developed by Cochrane et al. (2007) guides our experimental design and its predictions serve as our source...
Persistent link: https://www.econbiz.de/10012847964
We investigate various statistical methods for forecasting risky choices and identify important decision predictors … three seconds of lottery-information processing. The results of our forecasting experiment show that choice-process data can … effectively be used to forecast risky gambling decisions; however, we find large differences among models’ forecasting …
Persistent link: https://www.econbiz.de/10011964372
forecasting risky 50/50 gambling decisions using different types of machine learning algorithms as well as traditional choice … relevant information for predicting gambling decisions, but we do not find forecasting accuracy to be substantially affected by … adding SCPMs to standard choice data. Instead, our results show that forecasting accuracy highly depends on differences in …
Persistent link: https://www.econbiz.de/10012427354
Bayes' statistical rule remains the status quo for modeling belief updating in both normative and descriptive models of behavior under uncertainty. Recent research has questioned the use of Bayes' rule in descriptive models of behavior, presenting evidence that people overweight 'good news'...
Persistent link: https://www.econbiz.de/10011542204
Using a laboratory experiment, we investigate whether contagion can emerge between two risky assets, even when their fundamentals are not correlated. To guide our experimental design, we use the ‘Two trees' asset pricing model developed by Cochrane et al. (2007). The model makes time-series...
Persistent link: https://www.econbiz.de/10012836283
If we reassess the rationality question under the assumption that the uncertainty of the natural world is largely unquantifiable, where do we end up? In this article the author argues that we arrive at a statistical, normative, and cognitive theory of ecological rationality. The main casualty of...
Persistent link: https://www.econbiz.de/10011990913
Bayesian hierarchical models serve as a standard methodology for aggregation and synthesis, used widely in statistics and other disciplines. I use this framework to aggregate the data from seven randomised experiments of expanding access to microcredit, assessing both the general impact of the...
Persistent link: https://www.econbiz.de/10013020777
The investigation of response time and behavior has a long tradition in cognitive psychology, particularly for non-strategic decision-making. Recently, experimental economists have also studied response time in strategic interactions, but within an emphasis on either one-shot games or repeated...
Persistent link: https://www.econbiz.de/10014128971
Investors' forecasting behavior affects their trading decisions and the resulting asset prices. It has been shown in … the literature how different, apparently reasonable investor forecasting behaviors can lead to qualitatively different … calibrated forecasting models of all participants were consistent with dynamical systems that exhibit price bubbles and cycles …
Persistent link: https://www.econbiz.de/10013057624