风险、模糊性和错误规范：决策理论、稳健控制和统计学

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2023-10-23 DOI:10.1002/jae.3010

Lars Peter Hansen, Thomas J. Sargent

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引用次数: 0

摘要

什么是 "深度不确定性"，它们的存在应如何影响审慎决策？为了解决这些问题，我们将稳健控制理论的思想引入统计决策理论。决策理论起源于冯-诺依曼（von Neumann）、摩根斯特恩（Morgenstern）、沃尔德（Wald）和萨维奇（Savage）的公理化公式。在萨维奇之后，决策理论家们构建了公理，将模糊厌恶的概念形式化。与此同时，控制理论家们构建了一些决策规则，这些规则对某些模型的错误规格具有鲁棒性。我们重新诠释了决策理论的公理基础，以表达对一系列模型的先验的模糊性，以及对相应似然函数的错误规范的担忧。

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Risk, ambiguity, and misspecification: Decision theory, robust control, and statistics

What are “deep uncertainties” and how should their presence influence prudent decisions? To address these questions, we bring ideas from robust control theory into statistical decision theory. Decision theory has its origins in axiomatic formulations by von Neumann and Morgenstern, Wald, and Savage. After Savage, decision theorists constructed axioms that formalize a notion of ambiguity aversion. Meanwhile, control theorists constructed decision rules that are robust to some model misspecifications. We reinterpret axiomatic foundations of decision theories to express ambiguity about a prior over a family of models along with concerns about misspecifications of the corresponding likelihood functions.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.