Related papers: Estimation of a Heterogeneous Demand Function with…
This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of…
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alternation of bids and asks, we propose moment-based…
Spaces with locally varying scale of measurement, like multidimensional structures with differently scaled dimensions, are pretty common in statistics and machine learning. Nevertheless, it is still understood as an open question how to…
Properties of weighted averages are studied for the general case that the individual measurements are subject to hidden correlations and have asymmetric statistical as well as systematic errors. Explicit expressions are derived for an…
When averages of different experimental determinations of the same quantity are computed, each with statistical and systematic error components, then frequently the statistical and systematic components of the combined error are quoted…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…
The aim here is to address the origins of sustainability for the real growth rate in the United States. For over a century of observations on the real GDP per capita of the United States a sustainable two percent growth rate has been…
Unobserved confounding arises when an unmeasured feature influences both the treatment and the outcome, leading to biased causal effect estimates. This issue undermines observational studies in fields like economics, medicine, ecology or…
Despite of the great efforts during the censuses, occurrence of some nonsampling errors such as coverage error is inevitable. Coverage error which can be classified into two types of under-count and overcount occurs when there is no unique…
Accurate prediction of user consumption is a key part not only in understanding consumer flexibility and behavior patterns, but in the design of robust and efficient energy saving programs as well. Existing prediction methods usually have…
We propose a new method for studying environments with unobserved individual heterogeneity. Based on model-implied pairwise inequalities, the method classifies individuals in the sample into groups defined by discrete unobserved…
Market share and quality, or customer satisfaction, go together. Yet inferring one from the other appears difficult. Indeed, such an inference would need detailed information about customer behavior, and might be clouded by modes of…
Nested error regression models are useful tools for analysis of grouped data, especially in the case of small area estimation. This paper suggests a nested error regression model using uncertain random effects in which the random effect in…
Social and economic studies are often implemented as complex survey designs. For example, multistage, unequal probability sampling designs utilized by federal statistical agencies are typically constructed to maximize the efficiency of the…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
Although a system is described by a well-known set of equations leading to a deterministic behavior, in the real world the value of a measurand obtained by an experiment will mostly scatter. Accordingly, an uncertainty is associated with…
Congestion is a common failure mode of markets, where consumers compete inefficiently on the same subset of goods (e.g., chasing the same small set of properties on a vacation rental platform). The typical economic story is that prices…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
Noise is an unavoidable part of most measurements which can hinder a correct interpretation of the data. Uncertainties propagate in the data analysis and can lead to biased results even in basic descriptive statistics such as the central…