Set Coverage and Robust Policy
We show that conÂ¯dence regions covering the identified set may be preferable to conÂ¯dence regions covering each of its points in robust control applications.
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- Evan W. Anderson & Lars Peter Hansen & Thomas J. Sargent, 2003. "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," Journal of the European Economic Association, MIT Press, vol. 1(1), pages 68-123, 03.
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"Statistical Treatment Rules for Heterogeneous Populations,"
Econometric Society, vol. 72(4), pages 1221-1246, 07.
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- Guido Imbens & Charles F. Manski, 2003.
"Confidence intervals for partially identified parameters,"
CeMMAP working papers
CWP09/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
- Larry Epstein & Martin Schneider, 2006.
"Learning Under Ambiguity,"
RCER Working Papers
527, University of Rochester - Center for Economic Research (RCER).
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