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, Prices of Risk, and Model Detection</li> <li>Robust Control and Model Uncertainty</li> <li>Robust Control and Model … the Price of Uncertainty</li> <li>Beliefs, Doubts and Learning: Valuing Macroeconomic Risk</li> <li>Three Types of …), <em>Uncertainty within Economic Models</em> includes articles adapting and applying robust control theory to problems in …
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. Detection error probabilities can be used to discipline empirically plausible amounts of robustness. We describe applications to … asset pricing uncertainty premia and design of robust macroeconomic policies. …
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This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
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aversion. Detection error probabilities can be used to discipline empirically plausible amounts of robustness. We describe … applications to asset pricing uncertainty premia and design of robust macroeconomic policies. …
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