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Perez-Richet, Eduardo; Skreta, Basilikē - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 3, pp. 1109-1142

Persistent link: https://www.econbiz.de/10013279527

Sequential Hypothetical Testing for Derivative Models

Juan, Frank; Wang, Hungjen - 2022

As George Box [1976] put it, "all models are wrong but some are useful." This is especially true for derivative models, As sown during the 2008 financial crisis, most collaterized debt obligation (CDO) models failed to reflect the true risk of those structures. Therefore, one always faces the...

Persistent link: https://www.econbiz.de/10013293188

Outperformance Portfolio Optimization Via the Equivalence of Pure and Randomized Hypothesis Testing

Leung, Tim - 2015

We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be formulated as a composite pure hypothesis testing problem....

Persistent link: https://www.econbiz.de/10013035801

Individual and Collective Information Acquisition : An Experimental Study

Reshidi, Pëllumb; Lizzeri, Alessandro; Yariv, Leeat; … - National Bureau of Economic Research - 2021

Many committees--juries, political task forces, etc.--spend time gathering costly information before reaching a decision. We report results from lab experiments focused on such information-collection processes. We consider decisions governed by individuals and groups and compare how voting rules...

Persistent link: https://www.econbiz.de/10012794585

A simple test for the ignorability of non-compliance in experiments

Huber, Martin - In: Economics letters 120 (2013) 3, pp. 389-391

Persistent link: https://www.econbiz.de/10010128809

A bootstrap test for instrument validity in heterogeneous treatment effect models

Kitagawa, Toru - 2013

This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect …. Our specification test infers this testable implication using a Kolmogorov-Smirnov type test statistic. We provide a … bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to …

Persistent link: https://www.econbiz.de/10010190476

Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870

Persistent link: https://www.econbiz.de/10010190872

A test of the conditional independence assumption in sample selection models

Huber, Martin; Melly, Blaise - 2012 - Last changes: September 2012

Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption...

Persistent link: https://www.econbiz.de/10009633861

On repeated difference testing

Kunert, Joachim - 2000

If the number of assessors in a difference test is not large enough to ensure the desired power of the testing … their approach such that we get confidence limits. While the exposition concentrates on the triangle test, the approach is … also applicable for other difference testing procedures (e.g. pairwise difference test, duo-trio test). …

Persistent link: https://www.econbiz.de/10009781513

Assessing the external validity of an experimental wage subsidy

Kamionka, Thierry; Lacroix, Guy - In: Annales d'économie et de statistique 91/92 (2008), pp. 357-384

Persistent link: https://www.econbiz.de/10009124911