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Home | Events Archive | Minimizing Sensitivity to Model Misspecification
Seminar

Minimizing Sensitivity to Model Misspecification


  • Series
    Econometrics Seminars and Workshop Series
  • Speaker
    Martin Weidner (University College London)
  • Field
    Econometrics
  • Location
    UvA - E-building, Roetersstraat 11, Room E5.22
    Amsterdam
  • Date and time

    March 29, 2019
    16:00 - 17:15

Abstract: We propose a framework for estimation and inference about the parameters of an economic model and predictions based on it, when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We derive formulas to construct estimators whose mean squared error is minimax in a neighborhood of the reference model, based on simple one-step adjustments. We construct confidence intervals that contain the true parameter under both correct specification and local misspecification. We calibrate the degree of misspecification using a model detection error approach. Our approach allows us to perform systematic sensitivity analysis when the parameter of interest may be partially or irregularly identified. To illustrate our approach we study panel data models where the distribution of individual effects may be misspecified and the number of time periods is small, and we revisit the structural evaluation of a conditional cash transfer program in Mexico.
Joint with Stéphane Bonhomme.
Read full paper here.