arXiv 16 Apr 2026 · Econometrics
arXiv:2604.15571 · PDF · DOI · OpenAlex · Extracted main text
We develop inference under model uncertainty due to weak, noisy, multiple candidate restrictions and theories, and nuisance control covariates. A unified framework is given with degrees of misspecification and corresponding shadow prices, based on a Lagrangian constrained optimization approach, and a data$-$driven tolerance parameter selected via a Stein$-$type (shrinkage) risk criterion. A debiasing step is based on Karush$-$Kuhn$-$Tucker conditions. We introduce individual shadow prices (ISP) for different restrictions to measure empirical relevance and propose a plateau rule to separate signal from noise. We establish consistency and asymptotic normality of the estimators and characterize the ISP. Simulations and an application to a Solow growth model illustrate the method$^{\prime}$s practical usefulness.
appendix boundary found by appendix_command · 67% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chernozhukov, V. and Chetverikov, D. and Demirer, M. and Duflo, E. a… (2018) Double/debiased machine learning for treatment and structural parameters | 0.644 | 2 | 2 | 100% |
| 2 | Solow, R (1956) A Contribution to the Theory of Economic Growth | 0.644 | 2 | 2 | 100% |
| 3 | Swan, T (1956) Economic growth and capital accumulation | 0.644 | 2 | 2 | 100% |
| 4 | Christensen, T. and Connault, B (2023) Counterfactual sensitivity and robustness | 0.511 | 2 | 1 | 100% |
| 5 | Gospodinov, N. and Kan, R. and Robotti, C (2014) Misspecification-robust inference in linear asset-pricing models with irrelevant risk factors | 0.511 | 2 | 1 | 100% |
| 6 | Blundell, R (2005) How revealing is revealed preference? | 0.405 | 1 | 1 | 100% |
| 7 | Bonhomme, S. and Weidner, M (2022) Minimizing sensitivity to model misspecification | 0.405 | 1 | 1 | 100% |
| 8 | Campbell, J. Y. and Shiller, R. J (1987) Cointegration and tests of present value models | 0.405 | 1 | 1 | 100% |
| 9 | Drukker, D. M. and Liu, D (2022) Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators | 0.405 | 1 | 1 | 100% |
| 10 | Durlauf, S. N. and Johnson, P. A (1995) Multiple regimes and cross‐country growth behaviour | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 28 scored citations.