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The ex-ante evaluation of policies using structural econometric models is based on estimated parameters as a stand-in for the truth. This practice ignores uncertainty in the counterfactual policy predictions of the model. We develop a generic approach that deals with parametric uncertainty using...
Persistent link: https://www.econbiz.de/10012517558
A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical...
Persistent link: https://www.econbiz.de/10012418852
A stylized fact from laboratory experiments is that there is much heterogeneity in human behavior. We present and demonstrate a computationally practical non-parametric Bayesian method for characterizing this heterogeneity. In addition, we define the concept of behaviorally distinguishable...
Persistent link: https://www.econbiz.de/10012167865
Robust control theory is a tool for assessing decision rules when a decision maker distrusts either the specification … control theory to the so-called multiplier and constraint preferences that have been used to express ambiguity aversion …
Persistent link: https://www.econbiz.de/10014025622
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The authors adapt modern control theoretic techniques based on robust control theory to economic modelling and decision … entropy and in this sense the robust control theory is not only adapted but also extended in the book. The main issues … noncooperative game theory to solve the formulated decision making problems. The book is self-contained and rigorous and may be …
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Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...
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