The fragility of sensitivity analysis
Subtitle: an encompassing perspective
By: Neil R. Ericsson.
Series: International finance discussion papers -- no. 959; International finance discussion papers (Online) -- no. 959.
Publisher: Federal Reserve Board
Published: 2008
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "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 also provides a link to a more common-sense notion of robustness, which is still a desirable property empirically; and encompassing clarifies recent discussion on model averaging and the pooling of forecasts"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/22/2009.

Includes bibliographical references.

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