GME versus OLS - Which is the best to estimate utility functions?
This paper estimates von Neumann andMorgenstern utility functions comparing the generalized maximum entropy (GME) with OLS, using data obtained by utility elicitation methods. Thus, it provides a comparison of the performance of the two estimators in a real data small sample setup. The results confirm the ones obtained for small samples through Monte Carlo simulations. The difference between the two estimators is small and it decreases as the width of the parameter support vector increases. Moreover the GME estimator is more precise than the OLS one. Overall the results suggest that GME is an interesting alternative to OLS in the estimation of utility functions when data is generated by utility elicitation methods.
|Date of creation:||2010|
|Contact details of provider:|| Postal: Colégio Espírito SANTO|
Phone: (351) 266 740 869
Web page: http://www.cefage.uevora.pt
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:cfe:wpcefa:2010_02. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Pacheco)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.