Cover Image

Robust confidence regions for incomplete models

Larry G. Epstein; Hiroaki Kaido; Kyoungwon Seo
Call an economic model incomplete if it does not generate a probabilistic prediction even given knowledge of all parameter values. We propose a method of inference about unknown parameters for such models that is robust to heterogeneity and dependence of unknown form. The key is a Central Limit Theorem for belief functions; robust con.dence regions are then constructed in a fashion paralleling the classical approach. Monte Carlo simulations support tractability of the method and demonstrate its enhanced robustness relative to existing methods.
Year of publication:
2015
Authors: Epstein, Larry G. ; Kaido, Hiroaki ; Seo, Kyoungwon
Publisher: London : Centre for Microdata Methods and Practice
Subject: incomplete economic models | Partielle Identifikation | Partial identification | Zentraler Grenzwertsatz | Central limit theorem | Spieltheorie | Game theory | Monte-Carlo-Simulation | Monte Carlo simulation
freely available
Full text |
www.cemmap.ac.uk
dx.medra.org
doi.org
Check Google Scholar
In German libraries (KVK)
I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10010510064
Similar items by subject
Similar items by person