2.09 Dipartimento di Scienze Economiche

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Working Papers of Department of Economics

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Can we estimate macroforecasters’ mis-behavior?

We answer positively to this question by using Maximum Lq-Likelihood (or Deformed Likelihood) estimator. This is based on a parameter which measures the aggregate quote of judgment in the forecasting (game-based) system formed by three players—Forecaster, Policy Maker and Reality. For the first time in econometric literature, we apply this estimator to a dynamic system and derive a robust version of the Kalman Filter—the Deformed Kalman Filter (DKF). The evidence from U.S. data suggests that ...

The judgmental strategy of professional forecasters

We detect the forecasting bias due to strategic interaction among economic agents using a novel methodology that relies on (i) a new definition of coherence based on the Likelihood Principle; (ii) an environment named “Scoring Structure”, where a Forecast User interacts with a Forecast Producer and Reality. A formal test for the null hypothesis of coherence in the Structure is introduced. The test has good small-sample properties and behaves consistently with theoretical requirements. Th...

Annuity Puzzle: Evidence from a Swiss pension fund

We analyze individual annuitization decisions at retirement in an environment with mandatory participation into a funded pension pillar and low average annuity price. Using administrative data from a large Swiss insurance company over the period 2011-2015, we document that, even in this favorable environment, only 42.6% of the retirees fully annuitize, against 45% taking full lump sum. We individual annuitization decisions strongly respond to financial incentives, measured by the Money Worth...

Old and new Weibull-Pareto distributions

Strangely enough, the same term New Weibull-Pareto distribution (NWPD) has been recently used for denoting different parametric models. We illustrate the difference among these models briefly, and suggest alternative definitions.

On the bright side of correlation information transmission

We consider a situation in which a decision maker solicits information from two partially informed experts with uncertain biases. Experts’ private information about an underlying state might be conditionally correlated across them. We show that although correlation tightens the conditions on preferences for a truth-telling equilibrium, in the presence of uncertainty, a high level of correlation may discipline the strongly biased expert and may foster the informational content of the experts’ ...

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