Econometric applications of maxmin expected utility

63 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Decision Theory Applied to an Instrumental Variables Model (2007, methodology): “An algorithm is developed in Chamberlain (2000), using the minimax theorem for S-games (Blackwell and Girshick, 1954) and a concave programming algorithm, as in Wilson (1963).”
Ambiguity Aversion and Model Misspecification: An Economic Perspective (2016, methodology): “In a model with date zero prior ambiguity, Chamberlain (2000) embraces the prior-byprior application of Bayes’ rule from an ex ante perspective without including a rectangular embedding. There remains scope for further dialog and discussion of this important topic as there are potentially important ”
Nobel Lecture: Uncertainty Outside and Inside Economic Models (2014, methodology): “…a given date t, this measure is the expected log likelihood ratio under the M probability model and lends itself to tractable formulas for implementation.38 Another insightful formulation is given by Chen and Epstein ð2002Þ, which targets misspecification of transition densities in continuous time.”
Understanding the Greenspan Standard (2005, unknown): “22 See, for example, Chamberlain (2000).”
Robust control and model misspecification (2006, background): “(See Blackwell and Girshick [5] and Chamberlain [6] for related discussions.)”
Robustness and Uncertainty Aversion (2002, background): “(See Blackwell and Girshick (1954) and Chamberlain (2000) for related discussions.)”