A Derivative Based Estimator for Semiparametric Index Models

This paper proposes a semiparametric estimator for single- and multiple index models.It provides an extension of the average derivative estimator to the multiple index model setting.The estimator uses the average of the outer product of derivatives and is shown to be root-N consistent and asymptotically normal. Unlike the average derivative estimator, our estimator still works in the single-index setting when the expected derivative is zero (symmetry).Compared to other estimators for multiple index models, the proposed estimator has the advantage of ease of computation.While many econometric models can be regarded as multiple index models with known number of indices, our estimator in addition provides for a natural framework within which to test for the number of indices required.econometric models;kernel estimator;ranking;semiparametric estimation

Subjective information in economic decision making

Economists have been rather skeptical towards the use of subjective information. This thesis shows that this type of information can be relevant for the empirical explanation of economic decisions. Three examples of subjective information, which are time preference, income uncertainty, and risk aversion, are studied extensively in this thesis. The models used in the analyses of the subjective information are based on models developed by economic psychologists. These models are different from the traditional discounted expected utility model most often used in economics. The major differences are the presence of loss aversion and probability weighting. An economic model that incorporates these differences is used to explain the equity premium puzzle.

Customs-Related Transaction Costs, Firm Size and International Trade Intensity

The costs of paperwork and delays needed to clear international customs are generally perceived as a time-consuming impediment to international trade. However, few studies have empirically examined the determinants and the impact of this type of government-imposed transaction costs. This paper analyses the role of firm size as a determinant of customs-related transaction costs, as well as the effect of firm size on the relationship between these costs and the international trade intensity of firms. We submit that economies of scale should be related to the size of the activities the firm is specialised in, and not directly linked to the size of a firm per se.The results of this study indicate that customs-related transaction costs repress international trade activities of firms, even at low levels of these costs. The paper identifies transaction-related economies of scale, simplified customs procedures and advanced information and communication technology as main determinants of customs-related transaction costs. When these factors are taken into account, firm size has no effect on customs-related transaction costs. Policy implications are considered for firm strategy and public policy.firm size;international business strategy;international trade intensity;trade barriers

Firm Size and Export Intensity

This paper presents a unifying theory, explaining the different relationships between firm size and export intensity that have been found in previous studies. We propose that transaction costs economies and different types of resources induce a moderating effect on the firm size and export intensity relationship. Data on international businesses in the Netherlands are used to test the theoretical framework empirically, and support is found for different industries.International business strategy;export intensity;firms size;transaction costs

How Certain are Dutch Households about Future Income? An Empirical Analysis

The growing literature on precautionary saving clearly indicates the need for measurement of income uncertainty. In this paper we empirically analyze subjective income uncertainty in the Netherlands. Data come from the Dutch VSB panel. We measure income uncertainty directly by asking questions on expected household income in the next twelve months. First, we describe our data and compare a measure of income uncertainty with corresponding studies conducted in the US and Italy. Second, we investigate the relationship between the measure of income uncertainty and some household characteristics. Controlling for information on expected changes, we find strong relationships between labor-market characteristics and the subjective income uncertainty as reported by the heads of households.subjective information;income expectations;income uncertainty

Predicting Customer Potential Value: an application in the insurance industry

For effective Customer Relationship Management (CRM), it is essential to have information on the potential value of customers. Based on the interplay between potential value and realized value, managers can devise customer specific strategies. In this article we introduce a model for predicting the potential value of a current customer. Furthermore, we discuss and apply different modeling strategies for predicting this potential value.marketing models;customer potential;customer relationship management;insurance industry

Testing predictive performance of binary choice models

Binary choice models occur frequently in economic modeling. A measure of the predictive performance of binary choice models that is often reported is the hit rate of a model. This paper develops a test for the outperformance of a predictor for binary outcomes over a naive prediction method, which predicts the outcome that is most often observed. This is done for a general class of prediction models, including the well known Probit and Logit models. In many cases the test is easy to compute. The test is then applied and compared to a general test of Pesaran and Timmermann (1992) for dependence between predictors and realizations.Marketing;Predictive performance;Binary choice;Testing

The Non- and Semiparametric Analysis of MS Models: Some Applications

This paper illustrates how to compare different microscopic simulation (MS) models and how to compare a MS model with real data in case the parameters of interest are estimated non- or semiparametrically.As examples we investigate the marginal single-period probability density function of stock returns, and the corresponding spectral density function and memory parameters.We illustrate the methodology by the MS models developed by Levy, Levy, Solomon (2000) and the market fraction model developed by He and Li (2005a, b), and confront the resulting return data with the S&P 500 stock index data.Microscopic simulation models;Probability density function;Spectral density function;Memory parameters

Using Selective Sampling for Binary Choice Models to Reduce Survey Costs

Marketing problems sometimes concern the analysis of dichotomous variables, like for example ``buy'' and ``not buy'' and ``respond'' and ``not respond''. It can happen that one outcome strongly outnumbers the other, for example when many households do not respond (to a direct mailing, for example). Standard econometric methods would imply the collection of many data to obtain precise estimates and this can be rather costly. To cut back costs, we propose to implement a non-random sampling scheme and to correct for the subsequent sample selection bias in the econometric model. In this paper we put forward the relevant method, which does not lead to a loss in precision. Our illustration suggests an opportunity to collect 60\\% less data points.Outcome-dependent sampling;binary outcomes;logit model;sample size;survey design

Changing Perceptions and Changing Behavior in Customer Relationships

We formulate a theoretical model in which we postulate that if a customers' behavior is perceived as not optimal, customers will adjust this behavior based on their current satisfaction and payment equity. Furthermore, customers will also include new experiences. In our empirical study we particularly investigate customer referrals and the amount of services purchased. Our results show positive effects of current satisfaction and payment equity on referrals, while also changes in satisfaction and payment equity affect customer referrals. With respect to the amount of services purchased, our estimation results reveal a positive significant effect of only changes in satisfaction.satisfaction;customer relationships;dynamic modeling;preference updating