. Conventional fixed effects and random effects models are not designed for systematic variable selection under model uncertainty. In … study adds an econometric approach for dealing with model uncertainty in high-dimensional panel analysis and offers open …

findings indicate that robust rules, which account for model uncertainty, advocate significantly less aggressive policy …. Ignoring model uncertainty imposes significant costs, while the cost of insuring against this uncertainty is relatively low …

from equilibrium asset prices. By linking normal variance-mean mixtures with model uncertainty, we account for agents …

about model uncertainty. We find that the robust contract becomes increasingly intricate because of the non …-linear relationships between the entrepreneur's concern for model uncertainty and factors such as investors' value, dynamic investment, and … model uncertainty and firm performance. Adding entrepreneurs' consideration of model uncertainty to the extended model is …

preferences and face model uncertainty with a common set of identifiable models. Aggregate endowment is ambiguous. We characterize …