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Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing

Hlavka, Zdenek; Pesta, Michal - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Persistent link: https://www.econbiz.de/10005652754

The Theory of Implementation of Social Choice Rules

Serrano, Roberto - School of Social Science, Institute for Advanced Study - 2003

Suppose that the goals of a society can be summarized in a social choice rule, i.e., a mapping from relevant underlying parameters to final outcomes. Typically, the underlying parameters (e.g., individual preferences) are private information to the agents in society. The implementation problem...

Persistent link: https://www.econbiz.de/10005697960

Late Again with Defiers

Chaisemartin, Clément De; D'Haultfoeuille, Xavier - HAL - 2012

We show that the Wald statistic still identifies a causal effect if instrument monotonicity is replaced by a weaker …

Persistent link: https://www.econbiz.de/10010738893

Monotonicity of certain integrals involving gamma distributions and their applications in multiple comparisons

Misra, Neeraj; Arshad, Mohd. - In: Statistics & Probability Letters 85 (2014) C, pp. 144-152

Barlow and Gupta (1969) and Alam (1970) studied the monotonicity of two integrals, involving gamma distributions, that … arise in certain ranking and selection problems. In this paper, we shall unify their results by studying the monotonicity of …

Persistent link: https://www.econbiz.de/10010743564

Null, nullifying, or dummifying players: The difference between the Shapley value, the equal division value, and the equal surplus division value

Casajus, André; Huettner, Frank - In: Economics Letters 122 (2014) 2, pp. 167-169

We provide new characterisations of the equal surplus division value. This way, the difference between the Shapley value, the equal surplus division value, and the equal division value is pinpointed to one axiom.

Persistent link: https://www.econbiz.de/10010743700

Testing for stochastic monotonicity

Lee, Sokbae; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications …

Persistent link: https://www.econbiz.de/10010745504

Inequality, welfare and monotonicity

Amiel, Yoram; Cowell, Frank - London School of Economics (LSE) - 1997

property of monotonicity and the slope of the equity-efficient trade-off. Particularly simple results are available for a large …

Persistent link: https://www.econbiz.de/10010746382

Axiomatizing the Hirsch index: Quantity and quality disjoined

Miroiu, Adrian - In: Journal of Informetrics 7 (2013) 1, pp. 10-15

, but do not require changes in scientific productivity. The axioms used are weak. Specifically, monotonicity is avoided. …

Persistent link: https://www.econbiz.de/10010795073

Tolerating defiance? Local average treatment effects without monotonicity

Chaisemartin, Clément de - Department of Economics, University of Warwick - 2014

We know that instrumental variable (IV) estimates a causal effect if the instrument satisfies a monotonicity condition … the effect is positive in both groups. There are a large number of studies in which monotonicity is implausible. One might … condition than monotonicity. I outline three criteria applied researchers can use to assess whether this condition is applicable …

Persistent link: https://www.econbiz.de/10010800888

The Core and the Hedonic Core: Equivalence and Comparative Statistics

Engl, Greg; Scotchmer, Suzanne - Institute of Business and Economic Research (IBER), … - 1992

Persistent link: https://www.econbiz.de/10010677855