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Model Uncertainty

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  • Massimo Marinacci

Abstract

We study decision problems in which consequences of the various alternative actions depend on states determined by a generative mechanism representing some natural or social phenomenon. Model uncertainty arises because decision makers may not know this mechanism. Two types of uncertainty result, a state uncertainty within models and a model uncertainty across them. We discuss some two-stage static decision criteria proposed in the literature that address state uncertainty in the first stage and model uncertainty in the second (by considering subjective probabilities over models). We consider two approaches to the Ellsberg-type phenomena characteristic of such decision problems: a Bayesian approach based on the distinction between subjective attitudes toward the two kinds of uncertainty; and a non-Bayesian approach that permits multiple subjective probabilities. Several applications are used to illustrate concepts as they are introduced.

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  • Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
    • Handle: RePEc:bla:jeurec:v:13:y:2015:i:6:p:1022-1100
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    File URL: https://hdl.handle.net/10.1111/jeea.12164
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    7. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    8. Astrid Gamba & Tobias Regner, 2015. "Preferences-dependent learning in the Centipede game," Jena Economics Research Papers 2015-012, Friedrich-Schiller-University Jena.
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    13. Battigalli, P. & Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M., 2016. "Analysis of information feedback and selfconfirming equilibrium," Journal of Mathematical Economics, Elsevier, vol. 66(C), pages 40-51.
    14. Loic Berger & Valentina Bosetti, 2016. "Ellsberg Re-revisited: An Experiment Disentangling Model Uncertainty and Risk Aversion," Working Papers 2016.37, Fondazione Eni Enrico Mattei.
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