Modelling Unobserved Heterogeneity in Claim Counts Using Finite Mixture Models

Explaining Heterogeneity in Risk Preferences Using a Finite Mixture Model

This paper studies the effect of the space (distance) between lotteries' outcomes on risk-taking behavior and the shape of estimated utility and probability weighting functions. Previously investigated experimental data shows a significant space effect in the gain domain. As compared to low spaced lotteries, high spaced lotteries are associated with higher risk aversion for high probabilities o...

Skew Laplace Finite Mixture Modelling

‎This paper presents a new mixture model via considering the univariate skew Laplace distribution‎. ‎The new model can handle both heavy tails and skewness and is multimodal‎. ‎Describing some properties of the proposed model‎, ‎we present a feasible EM algorithm for iteratively‎ ‎computing maximum likelihood estimates‎. ‎We also derive the observ...

Unobserved heterogeneity in panel time series models

Recently, the large T panel literature has emphasized unobserved, time-varying heterogeneity that may stem from omitted common variables or global shocks that a¤ect each individual unit di¤erently. These latent common factors induce cross-section dependence and may lead to inconsistent regression coe¢ cient estimates if they are correlated with the explanatory variables. Moreover, if the proces...

Observing Unobserved Heterogeneity: Using Process Data to Enhance Choice Models

Nonparametric Discrete Choice Models with Unobserved Heterogeneity

In this research, we provide a new method to estimate discrete choice models with unobserved heterogeneity that can be used with either cross-sectional or panel data. The method imposes nonparametric assumptions on the systematic subutility functions and on the distributions of the unobservable random vectors and the heterogeneity parameter. The estimators are computationally feasible and stron...