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Epstein, Larry G.
Kaido, Hiroaki
Seo, Kyoungwon
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Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP20/15
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.
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Working Paper

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