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• W1590253428 abstract "In many applications it is necessary to use a simple and therefore highly misspecified econometric model as the basis for decision-making. We propose an approach to developing a possibly misspecified econometric model that will be used as the beliefs of an objective expected utility maximiser. A discrepancy between model and 'truth' is introduced that is interpretable as a measure of the model's value for this decision-maker. Our decision-based approach utilises this discrepancy in estimation, selection, inference and evaluation of parametric or semiparametric models. The methods proposed nest quasi-likelihood methods as a special case that arises when model value is measured by the Kullback-Leibler information discrepancy and also provide an econometric approach for developing parametric decision rules (e.g. technical trading rules) with desirable properties. The approach is illustrated and applied in the context of a CARA investor's decision problem for which analytical, simulation and empirical results suggest it is very effective." @default.
• W1590253428 created "2016-06-24" @default.
• W1590253428 creator A5076722925 @default.
• W1590253428 date "2001-01-01" @default.
• W1590253428 modified "2023-09-27" @default.
• W1590253428 title "Decisionmetrics: A Decision-Based Approach to Econometric Modelling" @default.
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• W1590253428 doi "https://doi.org/10.2139/ssrn.291921" @default.
• W1590253428 hasPublicationYear "2001" @default.
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