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LetL(X) be the Banach space of bounded, Borel measurable functionsL:X →R, endowed with the sup norm

+G(y 2)< r 1 +r 2, hence (y 1 +y 2, r1 +r 2)∈epi S(F□G) · 2002

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Misspecification-Averse Estimation

econ.EM · 2026-04-25 · unverdicted · novelty 7.0

Introduces the constrained multiplier criterion for misspecification-averse estimation and proves its asymptotic optimality via a local minimax theorem in a limit experiment incorporating moment constraints.

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  • Misspecification-Averse Estimation econ.EM · 2026-04-25 · unverdicted · none · ref 14

    Introduces the constrained multiplier criterion for misspecification-averse estimation and proves its asymptotic optimality via a local minimax theorem in a limit experiment incorporating moment constraints.