Reviews & Comments

January 2017 | Reviews & Comments

Ambiguity Aversion and Model Misspecification: An Economic Perspective

Lars Peter Hansen, Massimo Marinacci

How to accommodate potential model misspecification is a challenging topic. On the one hand, if we have very precise information about the nature of the misspecification, then presumably we would fix or repair the model. On the other hand, if we allow for too large of a set of possible ways for a model to be misspecified, we may find that little can be said of value in confronting the decision problem. The interplay between tractability and conceptual appeal is a central consideration when producing tools that aid in statistical decision making. Our comment will describe other important advances in decision theory within the economics discipline that are designed to confront uncertainty conceived broadly to include an aversion to ambiguity and a concern about model misspecification. We will also delineate some special challenges for applications in the social sciences.

Journal: Statistical Science|Volume: 31|Pages: 511-515|Tags: Risk, Robustness and Ambiguity|
October 2011 | Reviews & Comments

Comments on Housing Price Booms and the Current Account

A. Klaus, P. Kuang, A. Marcet
Journal: NBER Macroeconomics Annual|Volume: 26|
October 2007 | Reviews & Comments

Discussion of: Financial Markets and the Real Economy

J. Cochrane
Title of book: Handbook of the Equity Risk Premium|Editor(s): R. Mehra|Publisher: Elsevier Science|
April 2004 | Reviews & Comments

Comment on Exotic Preferences for Macroeconomics

D. K. Backus, B. R. Routledge, S. E. Zin
Journal: NBER Macroeconomics Annual|Volume: 19|Pages: 391-405|
October 1986 | Reviews & Comments

Statistical Properties of Generalized Method of Moments Estimators of Structural Parameters Obtained From Financial Market Data – Comment

Lars Peter Hansen
Journal: Journal of Business & Economic Statistics|Volume: 4|Issue Number: 4|Pages: 418-421|
January 1982 | Reviews & Comments

Consumption, Asset Markets, and Macroeconomic Fluctuations – A Comment

Lars Peter Hansen
Journal: Carnegie-Rochester Conference Series on Public Policy|Volume: 17|Pages: 239-250|