Learning with Model Uncertainty and Misspecification

传统的经济理论和均衡概念不允许代理人经历怀疑和模棱两可，这将导致他们测试其行为模型被指定的方式。它们也不包括摆脱现状、在不同模式之间切换的替代(样本)路径。这些假设对于解释许多类型的经济现象的动态是至关重要的，尤其是我们如何达到均衡结果。我们提出了一种在不改变决策者偏好的情况下研究动态环境中的不确定性和怀疑的替代方法。我们的目标是通过开发代理和经济学家处于平等地位的模型，做出理论和实践贡献，即模型内的代理面临与外部观察者或计量经济学家分析数据时相同的对其环境的怀疑和模棱两可。这项建议包含三个不同的项目，旨在作为实验室，探索赋予代理在动态环境中的模型不确定性和错误说明的影响。首先，预测组合是政策制定者在假设数据生成过程是外生的情况下，聚合分散的信息并对冲模型不确定性的一种方式。如果数据生成过程是内生的，我们证明了平均预测的潜在缺点，并开发了一种合理的方法来组合不同的预测。其次，我们调查了疑虑如何播下金融危机的种子。我们首先通过证明对基本面产生过程的怀疑可以产生异质信念和资产市场泡沫来内生异质信念。然后，我们对信念异质性的程度施加纪律，以了解反复出现的泡沫的来源。第三，对模型不确定性产生的事件进行正式调查需要一种新的解决方案概念。我们计划通过集中于满足给定的检测错误概率上界的随机过程集来扩展和提炼自确认均衡的概念。

Conventional economic theory and equilibrium concepts do not permit agents to experience doubts and ambiguity that would lead them to test the way their models of behavior are specified. Nor do they encompass alternative (sample) paths to escape from the status quo and switch among different models. These aepcets are crucial for explaining the dynamics of many types economic phenomena, particularly hwo we get to equilibrium outcomes. We propose an alternative approach to investigate the uncertainty and doubt in a dynamic context, without changing the preference of the decision maker. We aim to make theoretical and practical contributions, by developing models in which agents and economists are on an equal footing, in the sense that agents within the model confront the same doubts and ambiguity about their environment that confront an outside observer or econometrician anlyzing the data.This proposal contains three distinct projects designed to serve as laboratories for exploring the implications of endowing agents with model uncertainty and misspecification in a dynamic environment. First, the forecast combination is a way for a policy maker to aggregate dispersed information, and to hedge against model uncertainty, under the assumption that the data generating process is exogenous. We demonstrate the potential shortcomings of averaging forecasts, if the data generating process is endogenous, and develop a sensible way of combining different forecasts. Second, we investigate how how doubts can sow the seeds of financial crises. We first endogenize the heterogeneous beliefs by showing that doubts about the process generating fundamentals can produce heterogeneous beliefs and asset market bubbles. We then impose discipline on the degree of belief heterogeneity, to understand the source of recurrent bubbles. Third, a formal investigation of events generated by the presence of model uncertainty calls for a new solution concept. We plan to extend and then refine the notion of self-confirming equilibrium by focusing on the set of stochastic processes that satisfy a given bound on detection error probability rates.