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Dynamics of Inductive Inference in a Unified Framework
Gilboa, Itzhak; Samuelson, Larry; Schmeidler, David - Cowles Foundation for Research in Economics, Yale University - 2011
We present a model of inductive inference that includes, as special cases, Bayesian reasoning, case-based reasoning … inductive inference can be combined and how their relative weights change endogenously. We establish conditions under which an …
Persistent link: https://www.econbiz.de/10009221544
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Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models
Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2014
An influential paper by Kleibergen (2005) introduces Lagrange multiplier (LM) and conditional likelihood ratio-like (CLR) tests for nonlinear moment condition models. These procedures aim to have good size performance even when the parameters are unidentified or poorly identified. However, the...
Persistent link: https://www.econbiz.de/10011103450
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Identification- and Singularity-Robust Inference for Moment Condition
Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2015
This paper introduces two new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) tests and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. The paper shows that the tests have...
Persistent link: https://www.econbiz.de/10011107241