The Fragility of Sensitivity Analysis: An Encompassing Perspective - Brossura

Board Of Governors Of The Federal Reserve System

 
9781503287167: The Fragility of Sensitivity Analysis: An Encompassing Perspective
Brossura
ISBN 10: 1503287165 ISBN 13: 9781503287167
Casa editrice: CreateSpace Independent Publishing Platform, 2014

Sinossi

Robustness and fragility in Leamer’s sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class of models is neither necessary nor sufficient for robustness. This result holds even if the properly specified model has well-determined, statistically significant coefficients. The encompassing principle explains how this result can occur. Encompassing also provides a link to a more common-sense notion of robustness, which is still a desirable property empirically; and encompassing clarifies recent discussion on model averaging and the pooling of forecasts.

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Editore
CreateSpace Independent Publishing Platform
Data di pubblicazione
2014
Lingua
Inglese
ISBN 10 
1503287165
ISBN 13 
9781503287167
Rilegatura
Paperback
Numero di pagine
24
Contatto del produttore
non disponibile
Persona responsabile
non disponibile