The Fragility of Sensitivity Analysis: An Encompassing Perspective

by Federal Reserve Board

Robustness and fragility in Leamer's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class of models is neither necessary nor sufficient for robustness. This result holds even if the properly specified model has well-determined, statistically significant coefficients. The encompassing principle explains how this result can occur. Encompassing...

• Format: Paperback
• Language: English
• ISBN: 1503287165
• ISBN13: 9781503287167
• Release Date: November 2014
• Publisher: Createspace Independent Publishing Platform
• Length: 24 Pages
• Weight: 0.18 lbs.
• Dimensions: 0.1" x 8.5" x 11.0"