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Opis

Robustness and fragility in Leamer's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class of models is neither necessary nor sufficient for robustness. This result holds even if the properly specified model has well-determined, statistically significant coefficients. The encompassing principle explains how this result can occur. Encompassing also provides a link to a more common-sense notion of robustness, which is still a desirable property empirically; and encompassing clarifies recent discussion on model averaging and the pooling of forecasts.

Szczegóły książki

Kategoria Książki po angielsku Society & social sciences Politics & government

• Pełny tytuł: International Finance Discussion Papers
• Podtytuł: The Fragility of Sensitivity Analysis: An Encompassing Perspective
• Autor: Ericsson, Neil R (Research Economist, Federal Reserve, Washington, D.C.)
• Język: Angielski
• Oprawa: Miękka
• Liczba stron: 28
• EAN: 9781288725663
• ISBN: 9781288725663
• ID: 08275591
• Wydawca: Bibliogov
• Waga: 68 g
• Wymiary: 246 × 189 × 2 mm
• Data wydania: 08. February 2013

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