Search Results - subject:"Identifiability"

The pricing kernel under proportional ambiguity

Spengemann, Marco - 2025

The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel puzzle". This article explores the pricing kernel under...

Persistent link: https://www.econbiz.de/10015192948

Understanding user's identifiability on social media : a supervised machine learning and self-reporting investigation

Chen, Xi; Ding, Hao; Mou, Jian; Zhao, Yuping - In: Data science and management : DSM 8 (2025) 3, pp. 270-283

The identifiability of users as they interact in the digital world is fundamentally linked to privacy and security … issues. Identifiability can be divided into two: subjective identifiability, which is based on psychological perceptions (i ….e., mental space), and objective identifiability, which is based on social media data (i.e., information space). This study …

Persistent link: https://www.econbiz.de/10015550268

Sharing model uncertainty

Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2025

This paper examines efficient allocations in economies where consumers exhibit heterogeneous smooth ambiguity preferences and face model uncertainty with a common set of identifiable models. Aggregate endowment is ambiguous. We characterize economies where the representative consumer is of the...

Persistent link: https://www.econbiz.de/10015441120

Score-type tests for normal mixtures

Amengual, Dante; Bei, Xinyue; Carrasco, Marine; … - In: Journal of econometrics 248 (2025), pp. 1-24

Persistent link: https://www.econbiz.de/10015556437

The pricing kernel under proportional ambiguity

Spengemann, Marco - 2025

Persistent link: https://www.econbiz.de/10015325514

Addressing endogeneity using a two-stage copula generated regressor approach

Yang, Fan; Qian, Yi; Xie, Hui - In: Journal of marketing research 62 (2025) 4, pp. 601-623

Persistent link: https://www.econbiz.de/10015596788

Identifiability and estimation of possibly non-invertible SVARMA models : the normalised canonical WHF parametrisation

Funovits, Bernd - In: Journal of econometrics 241 (2024) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10015075190

Sharing model uncertainty

Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2025

Persistent link: https://www.econbiz.de/10015444995

An objective measure of distributional estimability as applied to the phase-type aging model

Nie, Cong; Liu, Xiaoming; Provost, Serge B. - In: Risks : open access journal 12 (2024) 2, pp. 1-26

The phase-type aging model (PTAM) is a class of Coxian-type Markovian models that can provide a quantitative description of the effects of various aging characteristics. Owing to the unique structure of the PTAM, parametric inference on the model is affected by a significant estimability issue,...

Persistent link: https://www.econbiz.de/10014497332

Sharing model uncertainty

Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024

Persistent link: https://www.econbiz.de/10014537225