Please use this identifier to cite or link to this item:
Epstein, Larry G.
Kaido, Hiroaki
Seo, Kyoungwon
Year of Publication: 
Series/Report no.: 
cemmap working paper No. 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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
590.05 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.