The authors adapt modern control theoretic techniques based on robust control theory to economic modelling and decision making. The main motivation behind the proposed approach is that concern about model misspecification in economics leads to decision strategies that work over the set of nearby...

We show that Mallows' model averaging estimator proposed by Hansen (2007) can be written as a least squares estimation with a weighted L₁ penalty and additional constraints. By exploiting this representation, we demonstrate that the weight vector obtained by this model averaging procedure has a...