Nonparametric Tests for Dynamic Optimization Hypoheses
| Project/Area Number |
07803001
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
経済理論
|
|---|
| Research Institution | The University of Tokyo |
|---|
Principal Investigator |
KAMIYA Kazuya The University of Tokyo, Facylty of Economics, Associate professor, 大学院・経済学研究科, 助教授 (50201439)
|
|---|
| Project Period (FY) |
1995 – 1997
|
| Project Status |
Completed (Fiscal Year 1997)
|
| Budget Amount *help |
¥1,900,000 (Direct Cost: ¥1,900,000)
Fiscal Year 1997: ¥300,000 (Direct Cost: ¥300,000)
Fiscal Year 1996: ¥400,000 (Direct Cost: ¥400,000)
Fiscal Year 1995: ¥1,200,000 (Direct Cost: ¥1,200,000)
|
|---|
| Keywords | Nonparametric Test / Dynamic Optimization / Expected Utility / Nonexpected Utility / ノンパラメトリック / 効用関数 / 顕示選好理論 / 期待効用仮説 / 非期待効用仮説 / ノンパラメトリックテスト |
|---|
| Research Abstract |
I investigated nonparametric restrictions of dynamic optimization behavior under risk for the case of finite horizon and discrete time period with one good per period. In order to find the restrictions of optimization behaviors on observed data. I followed the revealed preference tradition : I asked what conditions the data must satisfy in order for the data to be compatible with the maximization of some utility functions. The results I obtained are as follows :
1. I presented necessary and sufficient conditions for the data to be compatible with the maximization of some utility functions. In the literature, such conditions have not been investigated in discrete time models.
2. I investigated time-additive expected utility functions with a constant discountfactor and nonexpected utility functions. These classes have not been sutdied in the literature even in continuous time models.
3. I presented algorithms for testing the necessary and sufficient conditions. The algorithms can be applied to wide classes of intertemporal choice experiments with risk. Such an algorithm has not been known so far even in atemporal models. I also present the results of an intertemporal choice experiment.
|
Report
(4 results)
Research Products
(10 results)
