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Model Selection in the Presence of Incidental Parameters

Lee, Yoonseok; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

This paper considers model selection in nonlinear panel data models where incidental parameters or large-dimensional nuisance parameters are present. Primary interest typically centres on selecting a model that best approximates the underlying structure involving parameters that are common...

Persistent link: https://www.econbiz.de/10010895640

On the Performance of Least Squares in Linear Regression with Undefined Error Means

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1986

undefined means. This model is of interest from a robustness perspective as a polar case. Generally, least squares estimators … the results for robustness theory are discussed. …

Persistent link: https://www.econbiz.de/10005249278

Robust Implementation in General Mechanisms

Bergemann, Dirk; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2008

A social choice function is robustly implemented if every equilibrium on every type space achieves outcomes consistent with it. We identify a robust monotonicity condition that is necessary and (with mild extra assumptions) sufficient for robust implementation. Robust monotonicity is strictly...

Persistent link: https://www.econbiz.de/10005087384

Robust Monopoly Pricing

Bergemann, Dirk; Schlag, Karl - Cowles Foundation for Research in Economics, Yale University - 2005

We consider a robust version of the classic problem of optimal monopoly pricing with incomplete information. In the robust version, the seller faces model uncertainty and only knows that the true demand distribution is in the neighborhood of a given model distribution. We characterize the...

Persistent link: https://www.econbiz.de/10005087390

Robust Implementation: The Case of Direct Mechanisms"

Bergemann, Dirk; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2006

A social choice function is robustly implementable if there is a mechanism under which the process of iteratively eliminating strictly dominated messages leads to outcomes that agree with the social choice at every type profile. In an interdependent value environment with single crossing...

Persistent link: https://www.econbiz.de/10005087399

Generalized Potentials and Robust Sets of Equilibria

Morris, Stephen; Ui, Takashi - Cowles Foundation for Research in Economics, Yale University - 2003

This paper introduces generalized potential functions of complete information games and studies the robustness of sets … behavior close to some equilibrium in the set. This paper provides sufficient conditions for the robustness of sets of … existing sufficient conditions for the robustness of equilibria. …

Persistent link: https://www.econbiz.de/10005762463

Robust Implementation in General Mechanisms

Bergemann, Dirk; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2008

Persistent link: https://www.econbiz.de/10008545755

Robust Monopoly Pricing

Bergemann, Dirk; Schlag, Karl - Cowles Foundation for Research in Economics, Yale University - 2005

We consider a robust version of the classic problem of optimal monopoly pricing with incomplete information. In the robust version of the problem the seller only knows that demand will be in a neighborhood of a given model distribution. We characterize the optimal pricing policy under two...

Persistent link: https://www.econbiz.de/10005093952

Robust Implementation: The Role of Large Type Spaces

Bergemann, Dirk; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2005

A social choice function is robustly implemented if every equilibrium on every type space achieves outcomes consistent with a social choice function. We identify a robust monotonicity condition that is necessary and (with mild extra assumptions) sufficient for robust implementation. Robust...

Persistent link: https://www.econbiz.de/10005593322

Robust Implementation in Direct Mechanisms

Bergemann, Dirk; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2006

A social choice function is robustly implementable if there is a mechanism under which the process of iteratively eliminating strictly dominated messages leads to outcomes that agree with the social choice function for all beliefs at every type profile. In an interdependent value environment...

Persistent link: https://www.econbiz.de/10005593452