Arbeitspapier
Robust confidence regions for incomplete models
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP65/15
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Epstein, Larry G.
Kaido, Hiroaki
Seo, Kyoungwon
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2015
- DOI
-
doi:10.1920/wp.cem.2015.6515
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Epstein, Larry G.
- Kaido, Hiroaki
- Seo, Kyoungwon
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2015
Ähnliche Objekte (12)
Robust confidence regions for incomplete models
Robust likelihood ratio tests for incomplete economic models
Assessing NARCCAP climate model effects using spatial confidence regions
Regional Concentration and Confidence Regions
Confidence regions, non-parametric regression
Empirical simultaneous confidence regions for path-forecasts
Empirical simultaneous confidence regions for path-forecasts
Empirical Simultaneous Confidence Regions for Path-Forecasts
Confidence intervals for robust estimates of measurement uncertainty
Confidence intervals construction for difference of two means with incomplete correlated data
Parametric and Semi-Parametric Bootstrap-Based Confidence Intervals for Robust Linear Mixed Models
Sharp identification regions in models with convex predictions: Games, individual choice, and incomplete data
Robust confidence regions for incomplete models
Robust likelihood ratio tests for incomplete economic models
Assessing NARCCAP climate model effects using spatial confidence regions
Regional Concentration and Confidence Regions
Confidence regions, non-parametric regression
Empirical simultaneous confidence regions for path-forecasts
Empirical simultaneous confidence regions for path-forecasts
Empirical Simultaneous Confidence Regions for Path-Forecasts
Confidence intervals for robust estimates of measurement uncertainty
Confidence intervals construction for difference of two means with incomplete correlated data
Parametric and Semi-Parametric Bootstrap-Based Confidence Intervals for Robust Linear Mixed Models
Sharp identification regions in models with convex predictions: Games, individual choice, and incomplete data
Robust confidence regions for incomplete models
Robust likelihood ratio tests for incomplete economic models
Assessing NARCCAP climate model effects using spatial confidence regions
Regional Concentration and Confidence Regions
Confidence regions, non-parametric regression
Empirical simultaneous confidence regions for path-forecasts
Empirical simultaneous confidence regions for path-forecasts
Empirical Simultaneous Confidence Regions for Path-Forecasts
Confidence intervals for robust estimates of measurement uncertainty
Confidence intervals construction for difference of two means with incomplete correlated data
Parametric and Semi-Parametric Bootstrap-Based Confidence Intervals for Robust Linear Mixed Models