Structured ambiguity and model misspecification

• 成果类型: Article
• 署名作者: Hansen, Lars Peter; Sargent, Thomas J.
• 署名单位: University of Chicago; New York University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105165
• 发表日期: 2022
• 关键词: Ambiguity; misspecification; relative entropy; Robustness; Variational preferences; Structured and unstructured models

摘要

A decision maker is averse to not knowing a prior over a set of restricted structured models (ambiguity) and suspects that each structured model is misspecified. The decision maker evaluates intertemporal plans under all of the structured models and, to recognize possible misspecifications, under unstructured alternatives that are statistically close to them. Likelihood ratio processes are used to represent unstructured alternative models, while relative entropy restricts a set of unstructured models. A set of structured models might be finite or indexed by a finite-dimensional vector of unknown parameters that could vary in unknown ways over time. We model such a decision maker with a dynamic version of variational preferences and revisit topics including dynamic consistency and admissibility. (C) 2020 The Author(s). Published by Elsevier Inc.