Econometrica Vol. 84 No. 5 2016
Robust Confidence Regions for Incomplete Models
open access
Abstract
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.
- DOI
- 10.3982/ecta13394
- Volume
- 84
- Issue
- 5
- Pages
- 1799-1838
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex