Econometrics and decision theory

DOI10.1016/S0304-4076(99)00039-1zbMath0971.62078MaRDI QIDQ1574216

Gary Chamberlain

Publication date: 22 November 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

longitudinal dataminimax regretcoverage probabilityexpected utilitypredictive distributiondynamic modelsloss functionsrisk robustness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian problems; characterization of Bayes procedures (62C10) General considerations in statistical decision theory (62C05)

Related Items

Functional Sequential Treatment Allocation, Model uncertainty and policy evaluation: some theory and empirics, Online forecast combinations of distributions: worst case bounds, Minimizing sensitivity to model misspecification, Axioms for minimax regret choice correspondences, Regret aversion and opportunity dependence, Ambiguity aversion and model misspecification: an economic perspective, Minimax regret treatment choice with covariates or with limited validity of experiments, Program evaluation as a decision problem

Cites Work

• Learning and decision making when subjective probabilities have subjective domains
• An empirical analysis of earnings dynamics among men in the PSID: 1968--1989
• Robust Bayesian analysis: sensitivity to the prior
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Regression Quantiles
• Dynamic Aspects of Earning Mobility
• Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis
• Parametric Empirical Bayes Inference: Theory and Applications
• The Empirical Bayes Approach to Statistical Decision Problems
• A Definition of Subjective Probability
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