Three Types of Ambiguity

Lars Hansen and Thomas Sargent

Chapter 11 in Uncertainty within Economic Models, 2014, pp 379-430 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Rational expectations models attribute a unique probability model to diverse agents. Gilboa and Schmeidler (1989) express a single person’s ambiguity with a set of probability models. A coherent multi-agent setting with ambiguity must impute possibly distinct sets of models to different agents, and also specify each agent's understanding of the sets of models of other agents. This chapter studies three ways of doing this for a Ramsey planner…

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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Journal Article: Three types of ambiguity (2012)
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