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不完整模型的稳健置信区域AI 解读

Call an economic model incomplete if it does not generate a probabilistic prediction even given knowledge of all parameter values.We propose a method of inference about unknown parameters for such models that is robust to heterogeneity and dependence of unknown form.The key is a Central Limit Theorem for belief functions; robust con…dence regions are then constructed in a fashion paralleling the classical approach.Monte Carlo simulations support tractability of the method…

评论《结构模型估计的约束优化方法》AI 解读

We revisit the comparison of mathematical programming with equilibrium constraints (MPEC) and nested fixed point (NFXP) algorithms for estimating structural dynamic models by Su and Judd (SJ, 2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP-SA). We re-do their comparison using the more efficient version of NFXP proposed by Rust (1987), which combines successive approximations and…