The Fragility of Sensitivity Analysis: An Encompassing Perspective - Softcover

Board Of Governors Of The Federal Reserve System

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

Inhaltsangabe

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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Verlag
CreateSpace Independent Publishing Platform
Erscheinungsdatum
2014
Sprache
Englisch
ISBN 10 
1503287165
ISBN 13 
9781503287167
Einband
Paperback
Anzahl der Seiten
24
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