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TZID:America/Detroit
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TZOFFSETFROM:-0500
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DTSTART:20070311T020000
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DTSTAMP:20260320T100903
DTSTART;TZID=America/Detroit:20260331T130000
DTEND;TZID=America/Detroit:20260331T142000
SUMMARY:Workshop / Seminar:Misspecification-Averse Estimation
DESCRIPTION:We study optimal estimation when the likelihood may be misspecified.  Building on tools from the theory of decision-making under uncertainty\, we analyze a class of axiomatically grounded optimality criteria which nests several existing misspecification-robust objectives. Within this class\, we introduce the constrained multiplier criterion\, which allows for flexible misspecification attitudes. We prove a local asymptotic minimax theorem for this criterion\, extending a classical efficiency bound to a limit experiment which incorporates both misspecification concerns and moment constraints. We characterize asymptotically optimal estimators as Bayes decision rules under a flat prior and an exponentially tilted likelihood that incorporates the moment constraints\, and show that feasible plug-in analogs are asymptotically optimal.
UID:143380-21892968@events.umich.edu
URL:https://events.umich.edu/event/143380
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Econometrics,Economics,Metrics,seminar,Theory
LOCATION:North Quad - 4300
CONTACT:
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