Robust Estimation and Control without Commitment

Lars Hansen and Thomas Sargent

Chapter 8 in Uncertainty within Economic Models, 2014, pp 257-291 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionA Control Problem without Model UncertaintyUsing Martingales to Represent Model MisspecificationsTwo Pairs of OperatorsControl Problems with Model UncertaintyThe θ1 = θ2 CaseImplied Worst Case Model of Signal DistortionA Recursive Multiple Priors ModelRisk Sensitivity and Compound LotteriesAnother ExampleConcluding Remarks

Keywords: Uncertainty; Economic Models; Econometrics; Dynamic Programming; Macroeconomics; Robustness; Robust Control Theory; Agents; Market Prices; Model Misspecification (search for similar items in EconPapers)
Date: 2014
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