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Robust Estimation and Control without Commitment

In: UNCERTAINTY WITHIN ECONOMIC MODELS

Author

Listed:
  • Lars Peter Hansen
  • Thomas J Sargent

Abstract

The following sections are included:IntroductionA Control Problem without Model UncertaintyUsing Martingales to Represent Model MisspecificationsTwo Pairs of OperatorsControl Problems with Model UncertaintyThe θ1 = θ2 CaseImplied Worst Case Model of Signal DistortionA Recursive Multiple Priors ModelRisk Sensitivity and Compound LotteriesAnother ExampleConcluding Remarks

Suggested Citation

  • Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Estimation and Control without Commitment," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 8, pages 257-291, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814578127_0008
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