References
- Abdellaoui, M. (2000), “Parameter-Free Elicitation of Utility and Probability Weighting Functions,” Management Science, 46, 1497–1512. DOI: https://doi.org/10.1287/mnsc.46.11.1497.12080.
- Aït-Sahalia, Y., Laeven, R. J. A., and Pelizzon, L. (2014), “Mutual Excitation in Eurozone Sovereign CDS,” Journal of Econometrics, 183, 151–167. DOI: https://doi.org/10.1016/j.jeconom.2014.05.006.
- Aït-Sahalia, Y., Cacho-Diaz, J. A., and Laeven, R. J. A. (2015), “Modeling Financial Contagion Using Mutually Exciting Jump Processes,” Journal of Financial Economics, 117, 585–606. DOI: https://doi.org/10.1016/j.jfineco.2015.03.002.
- Avery, R. B. (1977), “Error Components and Seemingly Unrelated Regressions,” Econometrica, 45, 199–209. DOI: https://doi.org/10.2307/1913296.
- Baltagi, B. H. (1980), “On Seemingly Unrelated Regressions with Error Components,” Econometrica, 48, 1547–1551. DOI: https://doi.org/10.2307/1912824.
- Baltagi, B. H. (2008), Econometric Analysis of Panel Data, New York: Wiley.
- Beron, K. J., Murdoch, J. C., Thayer, M. A., and Vijverberg, W. P. M. (1997), “An Analysis of the Housing Market Before and After the 1989 Loma Prieta Earthquake,” Land Economics, 73, 101–113. DOI: https://doi.org/10.2307/3147080.
- Bin, O., and Landry, C. E. (2013), “Changes in Implicit Flood Risk Premiums: Empirical Evidence From the Housing Market,” Journal of Environmental Economics and Management, 65, 361–376. DOI: https://doi.org/10.1016/j.jeem.2012.12.002.
- Bin, O., and Polasky, S. (2004), “Effects of Flood Hazards on Property Values: Evidence Before and After Hurricane Floyd,” Land Economics, 80, 490–500. DOI: https://doi.org/10.2307/3655805.
- Boswijk, H. P., Laeven, R. J. A., and Lalu, A. (2016), “Asset Returns with Self-Exciting Jumps: Option Pricing and Estimation with a Continuum of Moments,” Mimeo, University of Amsterdam.
- Brookshire, D. S., Thayer, M. A., Tschirhart, J., and Schulze, W. D. (1985), “A Test of the Expected Utility Model: Evidence From Earthquake Risks,” Journal of Political Economy, 93, 369–389. DOI: https://doi.org/10.1086/261304.
- Chamberlain, G., and Griliches, Z. (1975), “Unobservables with a Variance-Components Structure: Ability, Schooling, and the Economic Success of Brothers,” International Economic Review, 16, 422–449. DOI: https://doi.org/10.2307/2525824.
- Daniel, V. E., Florax, R. J. G. M., and Rietveld, P. (2009), “Flooding Risk and Housing Values: An Economic Assessment of Environmental Hazard,” Ecological Economics, 69, 355–365. DOI: https://doi.org/10.1016/j.ecolecon.2009.08.018.
- Demidenko, E. (2013), Mixed Models: Theory and Application with R (2nd ed.), New York: Wiley.
- Dutta, S., and Mondal, D. (2015), “An h-Likelihood Method for Spatial Mixed Linear Models Based on Intrinsic Auto-Regressions,” Journal of the Royal Statistical Society, Series B, 77, 699–726. DOI: https://doi.org/10.1111/rssb.12084.
- Dutta, S., and Mondal, D. (2016), “REML Estimation with Intrinsic Matérn Dependence in the Spatial Linear Mixed Model,” Electronic Journal of Statistics, 10, 2856–2893.
- Eeckhoudt, L. R., Laeven, R. J., and Schlesinger, H. (2020), “Risk Apportionment: The Dual Story,”Journal of Economic Theory, 185, 104971. DOI: https://doi.org/10.1016/j.jet.2019.104971.
- Gu, T., Nakagawa, M., Saito, M., and Yamaga, H. (2011), “On Asymmetric Effects of Changes in Regional Risk Rankings on Relative Land Prices in the Tokyo Metropolitan Area: A Test of Implications Implied by Prospect Theory Using Market Equilibrium Prices (in Japanese),” Journal of Behavioral Economics and Finance, 4, 1–19.
- Hanaoka, C., Shigeoka, H., and Watanabe, Y. (2018), “Do Risk Preferences Change? Evidence From the Great East Japan Earthquake,” American Economic Journal: Applied Economics, 10, 298–330. DOI: https://doi.org/10.1257/app.20170048.
- Heckerman, D., Gurdasani, D., Kadie, C., Pomilla, C., Carstensen, T., Martin, H., Ekoru, K., Nsubuga, R. N., Ssenyomo, G., Kamali, A., Kaleebu, P., Widmer, C., and Sandhu, M. S. (2016), “Linear Mixed Model for Heritability Estimation that Explicitly Addresses Environmental Variation,” Proceedings of the National Academy of Sciences, 113, 7377–7382. DOI: https://doi.org/10.1073/pnas.1510497113.
- Hidano, N., Hoshino, T., and Sugiura, A. (2015), “The Effect of Seismic Hazard Risk Information on Property Prices: Evidence From a Spatial Regression Discontinuity Design,” Regional Science and Urban Economics, 53, 113–122. DOI: https://doi.org/10.1016/j.regsciurbeco.2015.05.005.
- Jiang, J., Rao, J. S., Gu, Z., and Nguyen, T. (2008), “Fence Methods for Mixed Model Selection,” Annals of Statistics, 36, 1669–1692.
- Jiang, J., and Nguyen, T. (2015), The Fence Methods, Singapore: World Scientific.
- Kahneman, D., and Tversky, A. (1979), “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica, 47, 263–292. DOI: https://doi.org/10.2307/1914185.
- Kawawaki, Y., and Ota, M. (1996), “The Influence of the Great Hanshin-Awaji Earthquake on the Local Housing Market,” Review of Urban and Regional Development Studies, 8, 220–233. DOI: https://doi.org/10.1111/j.1467-940X.1996.tb00119.x.
- Lippert, C., Listgarten, J., Liu, Y., Kadie, C. M., Davidson, R. I., and Heckerman, D. (2011), “FAST Linear Mixed Models for Genome-Wide Association Studies,” Nature Methods, 8, 833–835. DOI: https://doi.org/10.1038/nmeth.1681.
- Magnus, J. R. (1982), “Multivariate Error Components Analysis of Linear and Nonlinear Regression Models by Maximum Likelihood,” Journal of Econometrics, 19, 239–285. DOI: https://doi.org/10.1016/0304-4076(82)90005-7.
- Nakagawa, M., Saito, M., and Yamaga, H. (2007), “Earthquake Risk and Housing Rents: Evidence From the Tokyo Metropolitan Area,” Regional Science and Urban Economics, 37, 87–99. DOI: https://doi.org/10.1016/j.regsciurbeco.2006.06.009.
- Nakagawa, M., Saito, M., and Yamaga, H. (2009), “Earthquake Risks and Land Prices: Evidence From the Tokyo Metropolitan Area,” The Japanese Economic Review, 60, 208–222.
- Naoi, M., Seko, M., and Ishino, T. (2012), “Earthquake Risk in Japan: Consumers’ Risk Mitigation Responses After the Great East Japan Earthquake,” Journal of Economic Issues, 46, 519–529. DOI: https://doi.org/10.2753/JEI0021-3624460227.
- Naoi, M., Seko, M., and Sumita, K. (2009), “Earthquake Risk and Housing Prices in Japan: Evidence Before and After Massive Earthquakes,” Regional Science and Urban Economics, 39, 658–669. DOI: https://doi.org/10.1016/j.regsciurbeco.2009.08.002.
- Ogata, Y. (1981), “On Lewis’ Simulation Method for Point Processes,” IEEE Transactions on Information Theory, 27, 23–31. DOI: https://doi.org/10.1109/TIT.1981.1056305.
- Ogata, Y. (1988), “Statistical Models for Earthquake Occurrences and Residual Analysis for Point Processes,” Journal of the American Statistical Association, 83, 9–27.
- Prelec, D. (1998), “The Probability Weighting Function,” Econometrica, 66, 497–527. DOI: https://doi.org/10.2307/2998573.
- Quiggin, J. (1982), “A Theory of Anticipated Utility,” Journal of Economic Behavior and Organization, 3, 323–343. DOI: https://doi.org/10.1016/0167-2681(82)90008-7.
- Rosen, S. (1974), “Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition,” Journal of Political Economy, 82, 34– 55. DOI: https://doi.org/10.1086/260169.
- Shimizu, C., and Nishimura, K. G. (2006), “Biases in Appraisal Land Price Information: The Case of Japan,” Journal of Property Investment and Finance, 24, 150–175. DOI: https://doi.org/10.1108/14635780610655102.
- Tversky, A., and Kahneman, D. (1992), “Advances in Prospect Theory: Cumulative Representation of Uncertainty,” Journal of Risk and Uncertainty, 5, 297–323. DOI: https://doi.org/10.1007/BF00122574.
- Von Neumann, J., and Morgenstern, O. (1944), Theory of Games and Economic Behavior (3rd ed.), Princeton, NJ: Princeton University Press.
- Wakker, P. P. (2008), “Explaining the Characteristics of the Power (CRRA) Utility Family,” Health Economics, 17, 1329–1344. DOI: https://doi.org/10.1002/hec.1331.
- Wu, G., and Gonzalez, R. (1996), “Curvature of the Probability Weighting Function,” Management Science, 42, 1676–1690. DOI: https://doi.org/10.1287/mnsc.42.12.1676.
- Yaari, M. E. (1987), “The Dual Theory of Choice Under Risk,” Econometrica, 55, 95–115. DOI: https://doi.org/10.2307/1911158.
- Yamaga, H., Nakagawa, H., and Saito, M. (2002), “Earthquake Risks and Land Pricing: The Case of the Tokyo Metropolitan Area (in Japanese),” Journal of Applied Regional Science, 7, 51–62.