arXiv: Econometrics最新文献_第4页

Stochastic Revealed Preferences with Measurement Error 带有测量误差的随机显示偏好

arXiv: Econometrics Pub Date : 2018-10-11 DOI: 10.1093/restud/rdaa067

Victor H. Aguiar, N. Kashaev

{"title":"Stochastic Revealed Preferences with Measurement Error","authors":"Victor H. Aguiar, N. Kashaev","doi":"10.1093/restud/rdaa067","DOIUrl":"https://doi.org/10.1093/restud/rdaa067","url":null,"abstract":"A long-standing question about consumer behavior is whether individuals' observed purchase decisions satisfy the revealed preference (RP) axioms of the utility maximization theory (UMT). Researchers using survey or experimental panel data sets on prices and consumption to answer this question face the well-known problem of measurement error. We show that ignoring measurement error in the RP approach may lead to overrejection of the UMT. To solve this problem, we propose a new statistical RP framework for consumption panel data sets that allows for testing the UMT in the presence of measurement error. Our test is applicable to all consumer models that can be characterized by their first-order conditions. Our approach is nonparametric, allows for unrestricted heterogeneity in preferences, and requires only a centering condition on measurement error. We develop two applications that provide new evidence about the UMT. First, we find support in a survey data set for the dynamic and time-consistent UMT in single-individual households, in the presence of emph{nonclassical} measurement error in consumption. In the second application, we cannot reject the static UMT in a widely used experimental data set in which measurement error in prices is assumed to be the result of price misperception due to the experimental design. The first finding stands in contrast to the conclusions drawn from the deterministic RP test of Browning (1989). The second finding reverses the conclusions drawn from the deterministic RP test of Afriat (1967) and Varian (1982).","PeriodicalId":8448,"journal":{"name":"arXiv: Econometrics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87677311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 21

Valid simultaneous inference in high-dimensional settings (with the HDM package for R) 在高维环境中有效的同时推理(使用R的HDM包)

arXiv: Econometrics Pub Date : 2018-09-13 DOI: 10.1920/WP.CEM.2019.3019

Philipp Bach, V. Chernozhukov, M. Spindler

引用次数: 5

Moment Inequalities in the Context of Simulated and Predicted Variables 模拟变量和预测变量背景下的矩不等式

arXiv: Econometrics Pub Date : 2018-04-10 DOI: 10.1920/WPM.CEM.2018.2618

Hiroaki Kaido, Jiaxuan Li, Marc Rysman

{"title":"Moment Inequalities in the Context of Simulated and Predicted Variables","authors":"Hiroaki Kaido, Jiaxuan Li, Marc Rysman","doi":"10.1920/WPM.CEM.2018.2618","DOIUrl":"https://doi.org/10.1920/WPM.CEM.2018.2618","url":null,"abstract":"This paper explores the effects of simulated moments on the performance of inference methods based on moment inequalities. Commonly used confi dence sets for parameters are level sets of criterion functions whose boundary points may depend on sample moments in an irregular manner. Due to this feature, simulation errors can affect the performance of inference in non-standard ways. In particular, a (fi rst-order) bias due to the simulation errors may remain in the estimated boundary of the con fidence set. We demonstrate, through Monte Carlo experiments, that simulation errors can signi ficantly reduce the coverage probabilities of confi dence sets in small samples. The size distortion is particularly severe when the number of inequality restrictions is large. These results highlight the danger of ignoring the sampling variations due to the simulation errors in moment inequality models. Similar issues arise when using predicted variables in moment inequalities models. We propose a method for properly correcting for these variations based on regularizing the intersection of moments in parameter space, and we show that our proposed method performs well theoretically and in practice.","PeriodicalId":8448,"journal":{"name":"arXiv: Econometrics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90893035","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Simultaneous Mean-Variance Regression 同时均值-方差回归

arXiv: Econometrics Pub Date : 2018-04-04 DOI: 10.1920/WP.CEM.2018.2518

R. Spady, S. Stouli

{"title":"Simultaneous Mean-Variance Regression","authors":"R. Spady, S. Stouli","doi":"10.1920/WP.CEM.2018.2518","DOIUrl":"https://doi.org/10.1920/WP.CEM.2018.2518","url":null,"abstract":"We propose simultaneous mean-variance regression for the linear estimation and approximation of conditional mean functions. In the presence of heteroskedasticity of unknown form, our method accounts for varying dispersion in the regression outcome across the support of conditioning variables by using weights that are jointly determined with the mean regression parameters. Simultaneity generates outcome predictions that are guaranteed to improve over ordinary least-squares prediction error, with corresponding parameter standard errors that are automatically valid. Under shape misspecification of the conditional mean and variance functions, we establish existence and uniqueness of the resulting approximations and characterize their formal interpretation and robustness properties. In particular, we show that the corresponding mean-variance regression location-scale model weakly dominates the ordinary least-squares location model under a Kullback-Leibler measure of divergence, with strict improvement in the presence of heteroskedasticity. The simultaneous mean-variance regression loss function is globally convex and the corresponding estimator is easy to implement. We establish its consistency and asymptotic normality under misspecification, provide robust inference methods, and present numerical simulations that show large improvements over ordinary and weighted least-squares in terms of estimation and inference in finite samples. We further illustrate our method with two empirical applications to the estimation of the relationship between economic prosperity in 1500 and today, and demand for gasoline in the United States.","PeriodicalId":8448,"journal":{"name":"arXiv: Econometrics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79361028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

The Role of Agricultural Sector Productivity in Economic Growth: The Case of Iran's Economic Development Plan 农业部门生产力在经济增长中的作用:以伊朗经济发展计划为例

arXiv: Econometrics Pub Date : 2018-03-09 DOI: 10.5296/RAE.V10I1.12809

M. Tahamipour, Mina Mahmoudi

引用次数: 12

Permutation tests for equality of distributions of functional data 函数数据分布相等性的置换检验

arXiv: Econometrics Pub Date : 2018-03-02 DOI: 10.1920/WP.CEM.2018.1818

Federico A. Bugni, J. Horowitz

引用次数: 9

Strategy of the remove and easy TBT in GCC6 countries GCC6国家消除和消除技术性贸易壁垒的策略

arXiv: Econometrics Pub Date : 2018-02-24 DOI: 10.5121/csit.2018.80404

Yongjae Kim

{"title":"Strategy of the remove and easy TBT in GCC6 countries","authors":"Yongjae Kim","doi":"10.5121/csit.2018.80404","DOIUrl":"https://doi.org/10.5121/csit.2018.80404","url":null,"abstract":"The last technical barriers to trade(TBT) between countries are Non-Tariff Barriers(NTBs), meaning all trade barriers are possible other than Tariff Barriers. And the most typical examples are (TBT), which refer to measure Technical Regulation, Standards, Procedure for Conformity Assessment, Test & Certification etc. Therefore, in order to eliminate TBT, WTO has made all membership countries automatically enter into an agreement on TBT. In this study, the elimination strategy of TBT with aid of technical regulations or standards is excluded, and only the conformity assessment shall be considered as the strategic measure of eliminating TBT in GCC(Gulf Cooperation Council) 6 countries. The measure for every membership country to accord with the international standards corresponding to their technical regulations and standards, is only to present TBT related Specific Trade Concern(STC) to WTO. However, each of countries retains its own conformity assessment area, and measures to settle such differences are various as well. Therefore, it is likely required an appropriate level of harmonization in them to carry forward this scheme. KTC(Korea Testing Certification) written MRA with GCC test & certification company in 2015 years. So Korea exporting company can export to GCC goods with attached test & certification documents in Korea. To conclude, it is suggest MRA for the remove and reduce TBT to increse export and import among countries.","PeriodicalId":8448,"journal":{"name":"arXiv: Econometrics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90484772","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Predicting crypto-currencies using sparse non-Gaussian state space models 使用稀疏非高斯状态空间模型预测加密货币

arXiv: Econometrics Pub Date : 2018-01-19 DOI: 10.1002/FOR.2524

Christian Hotz-Behofsits, Florian Huber, Thomas O. Zorner

引用次数: 40

A comment on 'Testing Goodwin: growth cycles in ten OECD countries' 对《检验古德温:十个经合组织国家的增长周期》的评论

arXiv: Econometrics Pub Date : 2017-11-07 DOI: 10.1093/cje/bex018

M. Grasselli, Aditya Maheshwari

引用次数: 27

Non-asymptotic inference in instrumental variables estimation 工具变量估计中的非渐近推理

arXiv: Econometrics Pub Date : 2017-10-30 DOI: 10.1920/WP.CEM.2017.4617

J. Horowitz

引用次数: 5