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Testing equilibrium multiplicity in dynamic games
Otsu, Taisuke; Pesendorfer, Martin; Takahashi, Yuya - 2014
Persistent link: https://www.econbiz.de/10010408994
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Pooling data across markets in dynamic Markov games
Otsu, Taisuke; Pesendorfer, Martin; Takahashi, Yuya - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 523-559
supporting evidences for the maintained assumptions of estimation using pooled data. In a Monte Carlo study we find that the test …
Persistent link: https://www.econbiz.de/10011800640
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Testing for Equilibrium Multiplicity in Dynamic Markov Games
Otsu, Taisuke; Pesendorfer, Martin; Takahashi, Yuya - 2013
This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that the data are generated from a single equilibrium. We formulate tests of (i) the conditional choice probabilities, (ii) the steady-state distribution of states and (iii) the conditional...
Persistent link: https://www.econbiz.de/10010333866
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Testing for Equilibrium Multiplicity in Dynamic Markov Games
Otsu, Taisuke; Pesendorfer, Martin; Takahashi, Yuya - Volkswirtschaftliche Fakultät, … - 2013
This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that the data are generated from a single equilibrium. We formulate tests of (i) the conditional choice probabilities, (ii) the steady-state distribution of states and (iii) the conditional...
Persistent link: https://www.econbiz.de/10010700470
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Testing Equilibrium Multiplicity in Dynamic Games
Otsu, Taisuke; Pesendorfer, Martin; Takahashi, Yuya - C.E.P.R. Discussion Papers - 2014
This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that the data are generated from a single equilibrium. We formulate tests of (i) the conditional choice and state transition probabilities, (ii) the steady-state distribution, and (iii) the...
Persistent link: https://www.econbiz.de/10011084649
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Pooling data across markets in dynamic Markov games
Otsu, Taisuke; Pesendorfer, Martin; Takahashi, Yuya - Suntory and Toyota International Centres for Economics … - 2015
This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that data from distinct markets can be pooled. We formulate tests of (i) the conditional choice and state transition probabilities, (ii) the steady-state distribution, and (iii) the...
Persistent link: https://www.econbiz.de/10011201565
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Homogenous vs. heterogenous transition functions in smooth transition regressions : a LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however … estimation time, rendering their application less appealing. This paper proposes a Lagrange multiplier test indicating whether …
Persistent link: https://www.econbiz.de/10011749886
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Multiple tests for the performance of different investment strategies
Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - 2010
In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which …-selling constraints. A main drawback of most empirical studies on that topic is the use of simple-testing procedures which do not account … for the effects of multiple testing. For that reason we conduct several hypothesis tests which are proposed in the …
Persistent link: https://www.econbiz.de/10008939375
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Misspecification testing in a class of conditional distributional models
Rothe, Christoph; Wied, Dominik - 2012
We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...
Persistent link: https://www.econbiz.de/10009531435
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …
Persistent link: https://www.econbiz.de/10011431982