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摘要翻译：
研究一类决策者对数据生成过程不确定的动态模型的辨识与估计问题。DM围绕着一个他或她担心被一组模型错误指定的基准模型。决策是在一个最坏情况模型下评估的，该模型在该集合中的所有模型中提供了最低的效用。DM的基准模型和偏好参数被共同低估。在基准模型不变的情况下，建立了辨识DM最坏情况模型和偏好参数的基本条件。辨识分析的关键步骤是建立DM延拓值函数的存在唯一性，允许无界状态空间和无界效用。为此，对作用于由延拓值递归结构自然产生的Banach空间上的单调凸算子导出了不动点结果。定点结果比较一般；讨论了学习模型和Rust型动态离散选择模型的应用。对于估计，给出了一个扰动结果，给出了连续值一致估计的充要条件和最坏情况模型。该结果还允许估计量的收敛速度被刻画。一个实证应用研究了一个养老经济，其中DM的基准模型可以解释为专家预测模型的集合。该应用揭示了DM悲观扭曲基准概率的方式的时变性。对资产定价的后果进行了探索，并与宏观经济不确定性的文献进行了联系。
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英文标题：
《Dynamic Models with Robust Decision Makers: Identification and
Estimation》
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作者：
Timothy M. Christensen
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
This paper studies identification and estimation of a class of dynamic models in which the decision maker (DM) is uncertain about the data-generating process. The DM surrounds a benchmark model that he or she fears is misspecified by a set of models. Decisions are evaluated under a worst-case model delivering the lowest utility among all models in this set. The DM's benchmark model and preference parameters are jointly underidentified. With the benchmark model held fixed, primitive conditions are established for identification of the DM's worst-case model and preference parameters. The key step in the identification analysis is to establish existence and uniqueness of the DM's continuation value function allowing for unbounded statespace and unbounded utilities. To do so, fixed-point results are derived for monotone, convex operators that act on a Banach space of thin-tailed functions arising naturally from the structure of the continuation value recursion. The fixed-point results are quite general; applications to models with learning and Rust-type dynamic discrete choice models are also discussed. For estimation, a perturbation result is derived which provides a necessary and sufficient condition for consistent estimation of continuation values and the worst-case model. The result also allows convergence rates of estimators to be characterized. An empirical application studies an endowment economy where the DM's benchmark model may be interpreted as an aggregate of experts' forecasting models. The application reveals time-variation in the way the DM pessimistically distorts benchmark probabilities. Consequences for asset pricing are explored and connections are drawn with the literature on macroeconomic uncertainty.
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PDF链接：
https://arxiv.org/pdf/1812.11246
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