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Monte Carlo for Robust Regression : The Swindle Unmasked

Holland, Paul W. - 2021

This paper gives an alternative derivation of a Monte Carlo method that has been used to study robust estimators. Extensions of the technique to the regression case are also considered and some computational points are briefly mentioned

Persistent link: https://www.econbiz.de/10013219725

Confidence Regions for Robust Regression

Welsch, Roy E. - 2021

This paper describes the results of a Monte Carlo study of certain aspects of robust regression confidence region estimation for linear models with one, five, and seven parameters. One-step sine estimators (c = l.42) were used with design matrices consisting of short-tailed, Gaussian, and...

Persistent link: https://www.econbiz.de/10013232037

Monte Carlo Techniques in Studying Robust Estimators

Hoaglin, David C. - 2010

Recent work on robust estimation has led to many procedures, which are easy to formulate and straightforward to program but difficult to study analytically. In such circumstances experimental sampling is quite attractive, but the variety and complexity of both estimators and sampling situations...

Persistent link: https://www.econbiz.de/10012763233

Sets of Models and Prices of Uncertainty

Hansen, Lars Peter - 2016

A decision maker constructs a convex set of nonnegative martingales to use as likelihood ratios that represent parametric alternatives to a baseline model and also non-parametric models statistically close to both the baseline model and the parametric alternatives. Max-min expected utility over...

Persistent link: https://www.econbiz.de/10012998420

A Theory of Experimenters

Banerjee, Abhijit V. - 2017

This paper proposes a decision-theoretic framework for experiment design. We model experimenters as ambiguity …-averse decision-makers, who make trade-offs between subjective expected performance and robustness. This framework accounts for … sample size is large enough or robustness is an important concern. We illustrate the practical value of such a framework by …

Persistent link: https://www.econbiz.de/10012946499

What Do Consumers Consider Before They Choose? Identification from Asymmetric Demand Responses

Abaluck, Jason - 2017

experiment, we recover preferences and consideration probabilities using only data on which items were ultimately chosen, and we …

Persistent link: https://www.econbiz.de/10012952501

A Theory of Experimenters

Chassang, Sylvain - 2018

Persistent link: https://www.econbiz.de/10012919161

Ambiguity Attitudes About Investments : Evidence from the Field

Anantanasuwong, Kanin - 2019

Using an incentivized survey and a representative sample of investors, we elicit ambiguity attitudes toward a familiar company stock, a local stock index, a foreign stock index, and a crypto currency. We separately estimate ambiguity aversion (ambiguity preferences) and perceived ambiguity...

Persistent link: https://www.econbiz.de/10012892566

Estimation of Causal Effects in Experiments with Multiple Sources of Noncompliance

Engberg, John Barker; Epple, Dennis N.; Imbrogno, Jason; … - 2021

The purpose of this paper is to study identification and estimation of causal effects in experiments with multiple sources of noncompliance. This research design arises in many applications in education when access to oversubscribed programs is partially determined by randomization. Eligible...

Persistent link: https://www.econbiz.de/10013218738

What Comes to Mind

Gennaioli, Nicola - 2010

We present a model of judgment under uncertainty, in which an agent combines data received from the external world with information retrieved from memory to evaluate a hypothesis. We focus on what comes to mind immediately, as the agent makes quick, intuitive evaluations. Because the automatic...

Persistent link: https://www.econbiz.de/10013152441