GME versus OLS - Which is the best to estimate utility functions?

Bibliographic Details
Main Author: Pires, Cesaltina
Publication Date: 2010
Other Authors: Dionísio, Andreia, Coelho, Luís
Format: Article
Language: por
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10174/6082
Summary: This paper estimates von Neumann and Morgenstern utility functions comparing the generalized maximum entropy (GME) with OLS, using data obtained by utility elici-tation methods. Thus, it provides a comparison of the performance of the two esti-mators in a real data small sample setup. The results confirm the ones obtained for small samples through Monte Carlo simulations. 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.
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spelling GME versus OLS - Which is the best to estimate utility functions?GMEUtility functionsOLSThis paper estimates von Neumann and Morgenstern utility functions comparing the generalized maximum entropy (GME) with OLS, using data obtained by utility elici-tation methods. Thus, it provides a comparison of the performance of the two esti-mators in a real data small sample setup. The results confirm the ones obtained for small samples through Monte Carlo simulations. 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.Universidade de Évora2012-11-28T12:40:13Z2012-11-282010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/6082http://hdl.handle.net/10174/6082porPires, C., Dionísio, A., Coelho, L. (2010) GME versus OLS - Which is the best to estimate utility functions?, II Workshop Perspectives on Econophysics, Proceedings of the Workshop Perspectives on Econophysics II, Universidade de Évora, Novembro de 2010.M-47478-2010cpires@uevora.ptandreia@uevora.ptlcoelho@uevora.pt637Pires, CesaltinaDionísio, AndreiaCoelho, Luísinfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-01-03T18:45:28Zoai:dspace.uevora.pt:10174/6082Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T11:55:53.202124Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv GME versus OLS - Which is the best to estimate utility functions?
title GME versus OLS - Which is the best to estimate utility functions?
spellingShingle GME versus OLS - Which is the best to estimate utility functions?
Pires, Cesaltina
GME
Utility functions
OLS
title_short GME versus OLS - Which is the best to estimate utility functions?
title_full GME versus OLS - Which is the best to estimate utility functions?
title_fullStr GME versus OLS - Which is the best to estimate utility functions?
title_full_unstemmed GME versus OLS - Which is the best to estimate utility functions?
title_sort GME versus OLS - Which is the best to estimate utility functions?
author Pires, Cesaltina
author_facet Pires, Cesaltina
Dionísio, Andreia
Coelho, Luís
author_role author
author2 Dionísio, Andreia
Coelho, Luís
author2_role author
author
dc.contributor.author.fl_str_mv Pires, Cesaltina
Dionísio, Andreia
Coelho, Luís
dc.subject.por.fl_str_mv GME
Utility functions
OLS
topic GME
Utility functions
OLS
description This paper estimates von Neumann and Morgenstern utility functions comparing the generalized maximum entropy (GME) with OLS, using data obtained by utility elici-tation methods. Thus, it provides a comparison of the performance of the two esti-mators in a real data small sample setup. The results confirm the ones obtained for small samples through Monte Carlo simulations. 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.
publishDate 2010
dc.date.none.fl_str_mv 2010-01-01T00:00:00Z
2012-11-28T12:40:13Z
2012-11-28
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/6082
http://hdl.handle.net/10174/6082
url http://hdl.handle.net/10174/6082
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv Pires, C., Dionísio, A., Coelho, L. (2010) GME versus OLS - Which is the best to estimate utility functions?, II Workshop Perspectives on Econophysics, Proceedings of the Workshop Perspectives on Econophysics II, Universidade de Évora, Novembro de 2010.
M-47478-2010
cpires@uevora.pt
andreia@uevora.pt
lcoelho@uevora.pt
637
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade de Évora
publisher.none.fl_str_mv Universidade de Évora
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833592358197788672

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