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From Animal Baits to Investors’ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples

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Ya'acov Ritov
Wolfgang Härdle

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Abstract

We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of individual utility functions in the DAX market.

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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-024.

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Length: 25 pages
Date of creation: May 2007
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Handle: RePEc:hum:wpaper:sfb649dp2007-024

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Related research
Keywords: Mixture distribution Inverse problem Risk aversion Exponential mixture Empirical pricing kernel DAX Market utility function.

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Enzo Weber, 2007. "Who Leads Financial Markets?," SFB 649 Discussion Papers SFB649DP2007-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  2. Enzo Weber, 2007. "What Happened to the Transatlantic Capital Market Relations?," SFB 649 Discussion Papers SFB649DP2007-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  3. Dirk Bethmann & Michael Kvasnicka, 2007. "Uncertain Paternity, Mating Market Failure, and the Institution of Marriage," SFB 649 Discussion Papers SFB649DP2007-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  4. Enzo Weber, 2007. "Regional and Outward Economic Integration in South-East Asia," SFB 649 Discussion Papers SFB649DP2007-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
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