Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/130076 
Year of Publication: 
2015
Series/Report no.: 
cemmap working paper No. CWP65/15
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
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 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

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