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International Finance Discussion Papers - The Fragility of Sensitivity Analysis: An Encompassing Perspective (Paperback) Loot Price: R307
Discovery Miles 3 070
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International Finance Discussion Papers - The Fragility of Sensitivity Analysis: An Encompassing Perspective (Paperback): Neil...

International Finance Discussion Papers - The Fragility of Sensitivity Analysis: An Encompassing Perspective (Paperback)

Neil R. Ericsson

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List price R367 Loot Price R307 Discovery Miles 3 070 You Save R60 (16%)

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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.

General

Imprint: Bibliogov
Country of origin: United States
Release date: February 2013
First published: February 2013
Authors: Neil R. Ericsson
Dimensions: 246 x 189 x 2mm (L x W x T)
Format: Paperback - Trade
Pages: 28
ISBN-13: 978-1-288-72566-3
Categories: Books > Social sciences > Politics & government > General
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LSN: 1-288-72566-3
Barcode: 9781288725663

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