Decisionmetrics: A decision-based approach to econometric modelling

被引：7
|
作者：
Skouras, Spyros [1 ]
机构：
[1] Athens Univ Econ & Business, Athens 10434, Greece
来源：
JOURNAL OF ECONOMETRICS | 2007年 / 137卷 / 02期
关键词：
statistical decision theory; misspecification; statistical risk; loss function; parametric action rules; financial decision-making; technical analysis;
D O I：
10.1016/j.jeconom.2006.03.012
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
An approach to developing a possibly misspecified econometric model that will be used as the beliefs of an expected utility maximiser is proposed. This approach builds on a novel objective function that measures the value of predictive distributions in decision-making and is used in model estimation, selection and evaluation. The methods proposed also provide an econometric approach for developing arbitrary parametric action rules such as technical trading rules. The approach is compared in detail with existing methods and is applied in the context of a CARA investor's decision problem where analytical and empirical results suggest it is very effective. (C) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：414 / 440
页数：27
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