Reliable Statistical Inferences with Wrong Probability Models (White, 1982, Econometrica; White, 1994, Estimation, Inference, and Specification Analysis;see Golden, 1995, Journal of Mathematical Psychology; for a review; Golden, 2000)

• Classical statistical inference (assumes DGP ? model):

  • ?n estimates true parameter vector ?*.
  • Wrong inferences for wrong models (“true parameter” doesn’t exit) 

• DRMST Theory (assumes weak constaints on DGP):

  • ?n estimates global minimum ?* of objective function d?
  • Global minimum ? “true” parameter vector ?* (if DGP ? model)

• DRMST Theory disentangles issues of:  Reliable inference and Valid inference.

• Philosophy: Since any model is “imperfect” ? “Classical” approach is not appropriate

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