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Dynamic Concern for Misspecification
We consider an agent who posits a set of probabilistic models for the payoff- relevant outcomes. The agent has a prior over this set but fears the actual model is omitted and hedges against this possibility. The concern for misspecification is endogenous: If a model explains the previous observations well, the concern attenuates. We show that differentLanzani, Giacomo +6 more
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A misspecification test for simulation metamodels
2017 Winter Simulation Conference (WSC), 2017Shiyu Wang, Guangwu Liu, Kun Zhang 0036
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Misspecification Testing: A Comprehensive Approach
American Journal of Agricultural Economics, 1993Jeffrey Alwang
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Acknowledging Misspecification in Macroeconomic Theory
Review of Economic Dynamics, 2001Lars Peter Hansen, Thomas J. Sargent
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Measuring Model Misspecification: Application to Propensity Score Methods With Complex Survey Data
Computational Statistics and Data Analysis, 2018Elizabeth A. Stuart, Benjamin Ackerman
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A Note on the Likelihood-Ratio Statistic Under Model Misspecification
Canadian Journal of Statistics, 1998Nancy Reid
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