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Set coverage and robust policy

Author

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  • Henry, Marc
  • Onatski, Alexei

Abstract

We show that confidence regions covering the identified set may be preferable to confidence regions covering each of its points in robust control applications.

Suggested Citation

  • Henry, Marc & Onatski, Alexei, 2012. "Set coverage and robust policy," Economics Letters, Elsevier, vol. 115(2), pages 256-257.
    • Handle: RePEc:eee:ecolet:v:115:y:2012:i:2:p:256-257
    DOI: 10.1016/j.econlet.2011.12.071
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    References listed on IDEAS

    as
    1. Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
    2. Larry G. Epstein & Martin Schneider, 2007. "Learning Under Ambiguity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1275-1303.
    3. Charles F. Manski, 2004. "Statistical Treatment Rules for Heterogeneous Populations," Econometrica, Econometric Society, vol. 72(4), pages 1221-1246, July.
    4. Lars Peter Hansen & Thomas J Sargent, 2014. "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 4, pages 83-143, World Scientific Publishing Co. Pte. Ltd..
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    Citations

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    Cited by:

    1. Lukáš Lafférs, 2019. "Bounding average treatment effects using linear programming," Empirical Economics, Springer, vol. 57(3), pages 727-767, September.
    2. Magnac, Thierry, 2013. "Identification partielle : méthodes et conséquences pour les applications empiriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 233-258, Décembre.
    3. Galichon, Alfred & Henry, Marc, 2013. "Dilation bootstrap," Journal of Econometrics, Elsevier, vol. 177(1), pages 109-115.
    4. Francesca Molinari, 2020. "Microeconometrics with Partial Identification," Papers 2004.11751, arXiv.org.
    5. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Marc Henry & Romuald Méango & Maurice Queyranne, 2012. "Combinatorial Bootstrap Inference IN in Prtially Identified Incomplete Structural Models," CIRJE F-Series CIRJE-F-837, CIRJE, Faculty of Economics, University of Tokyo.

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    More about this item

    Keywords

    Partial identification; Set coverage; Maxmin expected utility; Robust control;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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