摘要翻译：
本研究发展了一个检验不完全模型中结构参数假设的框架。这种模型进行集值预测，因此通常不会产生唯一的似然函数。然而，模型结构允许我们使用Huber和Strassen(1973)的理论，基于最不有利的似然对构造检验。我们开发了对模型不完备性鲁棒的测试，这些测试具有一定的最优性。我们还表明，尖锐的识别限制在以计算可处理的方式构造这样的测试中发挥了作用。通过将最不有利对嵌入到允许在实验参数限制下进行局部逼近的模型中，建立了一个分析试验局部渐近能力的框架。我们考虑的假设的例子包括那些关于在完全信息的离散博弈中存在策略交互效应的假设。蒙特卡罗实验证明了所提测试的鲁棒性。
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英文标题：
《Robust Likelihood Ratio Tests for Incomplete Economic Models》
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作者：
Hiroaki Kaido, Yi Zhang
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  This study develops a framework for testing hypotheses on structural parameters in incomplete models. Such models make set-valued predictions and hence do not generally yield a unique likelihood function. The model structure, however, allows us to construct tests based on the least favorable pairs of likelihoods using the theory of Huber and Strassen (1973). We develop tests robust to model incompleteness that possess certain optimality properties. We also show that sharp identifying restrictions play a role in constructing such tests in a computationally tractable manner. A framework for analyzing the local asymptotic power of the tests is developed by embedding the least favorable pairs into a model that allows local approximations under the limits of experiments argument. Examples of the hypotheses we consider include those on the presence of strategic interaction effects in discrete games of complete information. Monte Carlo experiments demonstrate the robust performance of the proposed tests.
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PDF链接：
https://arxiv.org/pdf/1910.04610