Robust confidence regions for incomplete models

• Autores: LARRY G. EPSTEIN, Hiroaki Kaido, Kyoungwon Seo
• Localización: Econométrica: Journal of the Econometric Society, ISSN 0012-9682, Vol. 84, Nº 5, 2016, págs. 1799-1838
• Idioma: inglés
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• Resumen

  • 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 confidence 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. [web URL: http://onlinelibrary.wiley.com/doi/10.3982/ECTA13394/abstract]