An experimental investigation of the impact of ambiguity on the valuationof self-insurance and self-protection

We build two experimental markets to examine individual valuations of risk reductions with two risk-management tools: self-insurance and self-protection. We find no positive evidence that the risk-reducing mechanisms constitute a “frame.” Ambiguity in the probability on average affects valuation only weakly, and changes in the representation of ambiguity do not alter valuation. Finally, unlike the results obtained by Hogarth and Kunreuther for the case of market insurance, our findings do not provide a strong support for the “Anchoring and Adjustment” ambiguity model.     

The effects of separate taxation on labor participation of married couples. An empirical analysis using propensity score

Up to 1987 the Spanish Income Tax imposed compulsory joint filing for married couples. However, the 1988 reform allowed spouses to choose between joint and separate taxation, involving a reduction in tax rates for secondary earners. Our aim is to analyze this reform as a quasi-natural experiment, assessing the effects of tax changes on labor participation. To find out the causal effect we adopt the difference-in-differences technique. We use data from the ‘Spanish Income Tax Panel 1982–1998’. Our results show that, as a consequence of differential tax changes, married women in families more strongly affected by the fiscal reform increase their labor participation more than secondary earners from families less affected by the reform. The participation rate for secondary earners in the treatment group increases by 9.4 percentage points whereas the control group increases their participation rate by 7.8 percentage points. We define the treatment group as those secondary earners in relatively low-income families in year 1987 and the control group as those in middle-high income families, because the former experiences a stronger reduction in tax rates than the latter. As a result, we can attribute the 1.6-percentage-point-increase in participation rates to the 1988 income tax reform.     

Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.     

Bayesian networks for imputation

Summary.  Bayesian networks are particularly useful for dealing with high dimensional statistical problems. They allow a reduction in the complexity of the phenomenon under study by representing joint relationships between a set of variables through conditional relationships between subsets of these variables. Following Thibaudeau and Winkler we use Bayesian networks for imputing missing values. This method is introduced to deal with the problem of the consistency of imputed values: preservation of statistical relationships between variables ( statistical consistency ) and preservation of logical constraints in data ( logical consistency ). We perform some experiments on a subset of anonymous individual records from the 1991 UK population census.     

Parametric estimation for ARFIMA models via spectral methods

Given a fractional integrated, autoregressive, moving average,ARFIMA (p, d, q) process, the simultaneous estimation of the short and long memory parameters can be achieved by maximum likelihood estimators. In this paper, following a two-step algorithm, the coefficients are estimated combining the maximum likelihood estimators with the general orthogonal decomposition of stochastic processes. In particular, the principal component analysis of stochastic processes is exploited to estimate the short memory parameters, which are plugged into the maximum likelihood function to obtain the fractional differencingd.     

A comparison of random balance and two-stage group screening designs: A case study

In this paper we focus on the problem of supersaturated (fewer runs than factors) screening experiments. We consider two major types of designs which have been proposed in this situ¬ation: random balance and two-stage group screening. We discuss the relative merits and demerits of each strategy. In addition, we compare the performance of these strategies by means of a case study in which 100 factors are screened in 20,42,62, and 84 runs.     

On the performance of mildly greedy players in cut games

We continue the study of the performance of mildly greedy players in cut games initiated by Christodoulou et al. (Theoret Comput Sci 438:13–27, 2012), where a mildly greedy player is a selfish agent who is willing to deviate from a certain strategy profile only if her payoff improves by a factor of more than \(1+\epsilon \), for some given \(\epsilon \ge 0\). Hence, in presence of mildly greedy players, the classical concepts of pure Nash equilibria and best-responses generalize to those of \((1+\epsilon )\)-approximate pure Nash equilibria and \((1+\epsilon )\)-approximate best-responses, respectively. We first show that the \(\epsilon \)-approximate price of anarchy, that is the price of anarchy of \((1+\epsilon )\)-approximate pure Nash equilibria, is at least \(\frac{1}{2+\epsilon }\) and that this bound is tight for any \(\epsilon \ge 0\). Then, we evaluate the approximation ratio of the solutions achieved after a \((1+\epsilon )\)-approximate one-round walk starting from any initial strategy profile, where a \((1+\epsilon )\)-approximate one-round walk is a sequence of \((1+\epsilon )\)-approximate best-responses, one for each player. We improve the currently known lower bound on this ratio from \(\min \left\{ \frac{1}{4+2\epsilon },\frac{\epsilon }{4+2\epsilon }\right\} \) up to \(\min \left\{ \frac{1}{2+\epsilon },\frac{2\epsilon }{(1+\epsilon )(2+\epsilon )}\right\} \) and show that this is again tight for any \(\epsilon \ge 0\). An interesting and quite surprising consequence of our results is that the worst-case performance guarantee of the very simple solutions generated after a \((1+\epsilon )\)-approximate one-round walk is the same as that of \((1+\epsilon )\)-approximate pure Nash equilibria when \(\epsilon \ge 1\) and of that of subgame perfect equilibria (i.e., Nash equilibria for greedy players with farsighted, rather than myopic, rationality) when \(\epsilon =1\).     

A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break

This note provides the asymptotic distribution of a Perron-type innovational outlier unit root test developed by Popp (J Stat Comput Sim 78:1145–1161, 2008) in case of a shift in the intercept for non-trending data. In Popp (J Stat Comput Sim 78:1145–1161, 2008), only critical values for finite samples based on Monte Carlo techniques are tabulated. Using similar arguments as in Zivot and Andrews (J Bus Econ Stat 10:251–270, 1992), weak convergence is shown for the test statistics.     

The origins of the public debt of Italy: Geographically dispersed interests?

In this paper we reconstruct the macro regional government deficits of Italy and find that the aggregate deficit resulting from our estimates captures quite well the entire dynamics of the Italian national public deficit. This new data set shows that the ultimate cause of the accumulation of public debt of Italy lies in the extraordinary fiscal imbalance of the Southern regions. The new data allow us to test empirically a simple Common Pool model, augmented by a variable measuring the political influence of each macro region in the Government, to verify the existence of a geographically dispersed interests issue for the Italian case. Our measure of political influence turns out to significantly explain the regions’ deficits also when controlling for population and income gaps. In addition, using a J-test approach, we find that including the predictions of the Common Pool–Pork Barrel regional model into a general model of the Italian national deficit turns out to greatly increase its explanatory power. The results call for deep institutional reforms of the fiscal decentralization so far implemented in Italy.