Articles scientifiques

A Similarity-Based Approach to Prediction

I. GILBOA, O. Lieberman, D. Schmeidler

Journal of Econometrics

mai 2011, vol. 162, n°1, pp.124-131

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)


Assume we are asked to predict a real-valued variable yt based on certain characteristics xt = (x1t , . . . , xdt), and on a database consisting of (x1i, . . . , xdi , yi) for i = 1, . . . , n. Analogical reasoning suggests to combine past observations of x and y with the current values of x to generate an assessment of y by similarity-weighted averaging. Specifically, the predicted value of y, yst , is the weighted average of all previously observed values yi, where the weight of yi, for every i = 1, . . . , n, is the similarity between the vector x1t, . . . , xdt, associated with yt , and the previously observed vector, x1i , . . . , xdi. The ''empirical similarity'' approach suggests estimation of the similarity function from past data. We discuss this approach as a statistical method of prediction, study its relationship to the statistical literature, and extend it to the estimation of probabilities and of density functions.Keywords:Density estimationEmpirical similarityKernelSpatial models

Aggregation of multiple prior opinions

H. Crès, I. GILBOA, N. VIEILLE

Journal of Economic Theory

novembre 2011, vol. 146, n°6, pp.2563-2582

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Aggregation of opinions, Ambiguity, Multiple priors


Experts are asked to provide their advice in a situation of uncertainty. They adopt the decision maker's utility function, but each has a potentially different set of prior probabilities, and so does the decision maker. The decision maker and the experts maximize the minimal expected utility with respect to their sets of priors. We show that a natural Pareto condition is equivalent to the existence of a set ¿ of probability vectors over the experts, interpreted as possible allocations of weights to the experts, such that (i) the decision maker's set of priors is precisely all the weighted-averages of priors, where an expert's prior is taken from her set and the weight vector is taken from ¿; (ii) the decision maker's valuation of an act is the minimal weighted valuation, over all weight vectors in ¿, of the experts' valuations

Aligning Ambition and Incentives

A. Koch, E.-A. PEYRACHE

Journal of Law, Economics and Organization

octobre 2011, vol. 27, n°3, pp.655-688

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Reputation, Asymmetric learning, Relative performance contracts, Transparency

http://ssrn.com/abstract=686087


Labor turnover creates longer term career concerns incentives that motivate employees in addition to the short-term monetary incentives provided by the current employer. We analyze how these incentives interact and derive implications for the design of incentive contracts and organizational choice. The main insights stem from a trade-off between “good monetary incentives” and “good reputational incentives.” We show that the principal optimally designs contracts to create ambiguity about agents’ abilities. This may make it optimal to contract on relative performance measures, even though the extant rationales for such schemes are absent. Linking the structure of contracts to organizational design, we show that it can be optimal for the principal to adopt an opaque organization where performance is not verifiable, despite the constraints that this imposes on contracts

Belief-free equilibria in games with incomplete information: characterization and existence

J. Hörner, S. LOVO, T. TOMALA

Journal of Economic Theory

septembre 2011, vol. 146, n°5, pp.1770-1795

Départements : Finance, GREGHEC (CNRS), Economie et Sciences de la décision

Mots clés : Repeated game with incomplete information, Harsanyi doctrine, Belief-free equilibria


We generalize the results of Hörner and Lovo (2009) [15] to N-player games with arbitrary information structure. First, we characterize the set of belief-free equilibrium payoffs under low discounting as the set of feasible payoffs that are individually rational, jointly rational, and incentive compatible. Second, we provide necessary and sufficient conditions on the information structure for this set to be non-empty

Evidence for an endogenous rebound effect impacting long-run car use elasticity to fuel price

E. KEMEL, R. COLLET, L. HIVERT

Economics Bulletin

octobre 2011, vol. 31, n°4, pp.2777-2786

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P250.pdf


This paper presents a structural equation model of household fleet fuel efficiency and car use. It allows to weigh the contribution of car equipment changes and car use adjustments to the price elasticity of household demand for fuel. This model is implemented using a panel dataset of 322 households that were present in each annual wave of the French Car Fleet survey from 1999 to 2007. The longitudinal dimension of this dataset enables to assess the short and long-run adjustments at the household level over a period of fuel price increase. The estimated price elasticities of the demand for fuel are fully consistent with the literature: -0.30 in the short run and -0.76 in the long run. Regarding car use elasticities, accounting for an endogenous rebound effect allowed a striking finding: the sensitivity of household car use to fuel price changes is lower on the long run than on the short run. This paper thus not only provides the latest estimations of elasticities for France, in the early 2000's, it also shows that, on the long run, French households have managed to mitigate the impact of increasing fuel prices on their car mobility by using more fuel efficient cars

Contacts  

Département Economie et Sciences de la Décision

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex
France

Faculté  

Eloic-Anil PEYRACHE

Economie - Sciences de la Décision (GREGHEC)

Voir le CV

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