A decision maker constructs a convex set of nonnegative martingales to use as likelihood ratios that represent parametric alternatives to a baseline model and also non-parametric models statistically close to both the baseline model and the parametric alternatives. Max-min expected utility over...

We connect variational preferences with the likelihood functions and prior probabilities over parameters that are building blocks of statistics and econometrics. We use relative entropy and other statistical divergences as cost functions in the variational preferences of someone who is ambiguous...

A representative investor confronts two levels of model uncertainty. The investor has a set of well defined parametric “structured models” but does not know which of them is best. The investor also suspects that all of the structured models are misspecified. These uncertainties about...

This paper describes the recent advances for rapidly and accurately solving matrix Riccati and Sylvester equations and applies them to devise efficient computational methods for solving and estimating dynamic linear economies. The chapter explores the most promising solution methods available...