-
作者：Gilboa, I; Schmeidler, D
作者单位：Tel Aviv University; Tel Aviv University; Yale University; Tel Aviv University; University System of Ohio; Ohio State University
摘要：A predictor is asked to rank eventualities according to their plausibility, based on past cases. We assume that she can form a ranking given any memory that consists of finitely many past cases. Mild consistency requirements on these rankings imply that they have a numerical representation via a matrix assigning numbers to eventuality-case pairs, as follows. Given a memory, each eventuality is ranked according to the sum of the numbers in its row, over cases in memory. The number attached to a...
-
作者：Blundell, RW; Browning, M; Crawford, IA
作者单位：University of London; University College London; University of London; London School Economics & Political Science
摘要：This paper applies revealed preference theory to the nonparametric statistical analysis of consumer demand. Knowledge of expansion paths is shown to improve the power of nonparametric tests of revealed preference. The tightest bounds on indifference surfaces and welfare measures are derived using an algorithm for which revealed preference conditions are shown to guarantee convergence. Nonparametric Engel curves are used to estimate expansion paths and provide a stochastic structure within whic...
-
作者：Krusell, P; Smith, AA Jr
作者单位：University of Rochester; Carnegie Mellon University
-
作者：Sharma, T
作者单位：Instituto Tecnologico Autonomo de Mexico
-
作者：Paparoditis, E; Politis, DN
作者单位：University of Cyprus; University of California System; University of California San Diego
摘要：A nonparametric, residual-based block bootstrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of the stationary process driving the random walk and successfully generates unit root integrated pseudo-series retaining the important characteristics of the data. It is more general than previous bootstrap approaches to the unit root problem in that it allows for a very wide cl...
-
作者：Chesher, A
作者单位：University of London; London School Economics & Political Science; University College London; University of London; University College London
摘要：Weak nonparametric restrictions are developed, sufficient to identify the values of derivatives of structural functions in which latent random variables are nonseparable. These derivatives can exhibit stochastic variation. In a microeconometric context this allows the impact of a policy intervention, as measured by the value of a structural derivative, to vary across people who are identical as measured by covariates. When the restrictions are satisfied quantiles of the distribution of a polic...
-
作者：Krasa, S; Villamil, AP
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
-
作者：Ghirardato, P; Maccheroni, F; Marinacci, M; Siniscalchi, M
摘要：We provide a simple behavioral definition of 'subjective mixture' of acts for a large class of (not necessarily expected-utility) preferences. Subjective mixtures enjoy the same algebraic properties as the 'objective mixtures' used to great advantage in the decision setting introduced by Anscombe and Aumann (1963). This makes it possible to formulate mixture-space axioms in a fully subjective setting. For illustration, we present simple subjective axiomatizations of some models of choice under...
-
作者：Andrews, DWK; Guggenberger, P
作者单位：Yale University
摘要：In this paper, we propose a simple bias-reduced log-periodogram regression estimator, (d) over cap (r), of the long-memory parameter, d, that eliminates the first- and higher-order biases of the Geweke and Porter-Hudak (1983) (GPH) estimator. The bias-reduced estimator is the same as the GPH estimator except that one includes frequencies to the power 2k for k = 1,...,r, for some positive integer r, as additional regressors in the pseudo-regression model that yields the GPH estimator. The reduc...
