Publication:
Worst-case estimation for econometric models with unobservable components

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2007-11
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Elsevier
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Abstract
A worst-case estimator for econometric models containing unobservable components, based on minimax principles for optimal selection of parameters, is proposed. Worst-case estimators are robust against the averse effects of unobservables. Computing worstcase estimators involves solving a minimax continuous problem, which is quite a challenging task. Large sample theory is considered, and a Monte Carlo study of finite-sample properties is conducted. A financial application is considered
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Worst-case decision, Robust modelling, Minimax optimization
Bibliographic citation
Computational Statistics & Data Analysis, 2007, v. 51, n. 7, pp. 3330–3354