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Model Uncertainty

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  • Massimo Marinacci

Abstract

We study decision problems in which the consequences of the alternative actions depend on states determined by a generative mechanism representing some natural or social phenomenon. Model uncertainty arises as decision makers may not know such mechanism. Two types of uncertainty result, a state uncertainty within models and a model uncertainty across them. We discuss some two-stage static decision criteria proposed in the literature that address state uncertainty in the first stage and model uncertainty in the second one (by considering subjective probabilities over models). We consider two approaches to the Ellsberg-type phenomena that these decision problems feature: a Bayesian approach based on the distinction between subjective attitudes oward the two kinds of uncertainty, and a non Bayesian one that permits multiple subjective probabilities. Several applications are used to illustrate concepts as they are introduced.

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  • Massimo Marinacci, 2015. "Model Uncertainty," Working Papers 553, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  • Handle: RePEc:igi:igierp:553
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    6. Astrid, Gamba & Tobias, Regner, 2015. "Preferences-dependent learning in the Centipede game," Working Papers 311, University of Milano-Bicocca, Department of Economics, revised 29 Oct 2015.
    7. Loic Berger & Massimo Marinacci, 2017. "Model Uncertainty in Climate Change Economics," Working Papers 616, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Battigalli, Pierpaolo & De Vito, Nicodemo, 2021. "Beliefs, plans, and perceived intentions in dynamic games," Journal of Economic Theory, Elsevier, vol. 195(C).
    9. Simon Quemin, 2016. "Intertemporal abatement decisions under ambiguity aversion in a cap and trade," Working Papers 1604, Chaire Economie du climat.
    10. Battigalli, P. & Catonini, E. & Lanzani, G. & Marinacci, M., 2019. "Ambiguity attitudes and self-confirming equilibrium in sequential games," Games and Economic Behavior, Elsevier, vol. 115(C), pages 1-29.
    11. Berger, Loïc & Emmerling, Johannes, 2017. "Welfare as Simple(x) Equity Equivalents," MITP: Mitigation, Innovation and Transformation Pathways 254044, Fondazione Eni Enrico Mattei (FEEM).
    12. Simone Cerreia Vioglio & Fabio Maccheroni & Massimo Marinacci, 2016. "Absolute and Relative Ambiguity Aversion: A Preferential Approach," Working Papers 578, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    13. Borgonovo, E. & Cappelli, V. & Maccheroni, F. & Marinacci, M., 2018. "Risk analysis and decision theory: A bridge," European Journal of Operational Research, Elsevier, vol. 264(1), pages 280-293.
    14. Battigalli, P. & Francetich, A. & Lanzani, G. & Marinacci, M., 2019. "Learning and self-confirming long-run biases," Journal of Economic Theory, Elsevier, vol. 183(C), pages 740-785.
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