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Title: GME versus OLS - Which is the best to estimate utility functions?
Authors: Pires, Cesaltina
Dionísio, Andreia
Coelho, Luís
Editors: Dionísio, Andreia
Heitor Reis, António
Coelho, Luís
Ferreira, Paulo
Namorado Rosa, Rui
Keywords: GME
Utility functions
Issue Date: 2010
Publisher: Universidade de Évora
Citation: 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.
Abstract: 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.
ISBN: M-47478-2010
Type: article
Appears in Collections:CEFAGE - Artigos em Livros de Actas/Proceedings

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Indice PE II.pdfindice181.87 kBAdobe PDFView/Open
Capa PEII.pdfcapa599.6 kBAdobe PDFView/Open
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