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As we already know that for our model all cross-product terms with i = j are
zero, this can be reduced to the convenient
intensely researched topic in sensitivity analysis (see the filtering approach just
mentioned). It can reasonably be expected that the estimation of these
measures will become more efficient over time.
At the same time, and if only for screening purposes, it would be useful to have
methods to find approximate sensitivity information at lower sample sizes. One
such method is the Elementary Effect Test.
1.2.17 Elementary Effect Test
The Elementary Effect Test is simply an average of derivatives over the space
of factors. The method is very simple. Consider a model with k independent
input factors Xii = 1 2k, which varies across p levels. The input space is
the discretized p-level grid . For a given value of X, the elementary effect of
the ith input factor is defined as
where p is the number of levels, is any selected value in such that the
transformed point ei is still in for each index i = 1 and ei is a vector of zeros but
with a unit as its ith component. Then the absolute values of the EEi, computed
at r different grid points for each factor, are averaged
and the factors ranked according to the obtained mean = U.
In order to compute efficiently, a well-chosen strategy is needed for moving
from one effect to the next, so that the input space is explored with a minimum
of points (see Chapter 3).
Leaving aside computational issues for the moment, is a useful measure for the
following reasons:
1.
2.
It is numerically efficient;
3.
It is very good for factor fixing it is indeed a good proxy for STi;
4.
analysis has been produced, most modellers will not willingly submit it to a
revision via sensitivity analysis by a third party.
This anticipation of criticism by sensitivity analysis is also one of the 10
commandments of applied econometrics according to Peter Kennedy:
Thou shall confess in the presence of sensitivity. Corollary: Thou shall anticipate
criticism [ ] When reporting a sensitivity analysis, researchers should explain
fully their specification search so that the readers can judge for themselves
how the results may have been affected. This is basically an honesty is the
best policy approach, advocated by Leamer, (1978, p. vi) (Kennedy, 2007).
To avoid this pitfall, an analyst should implement uncertainty and sensitivity
analyses routinely, both in the process of modelling and in the operational use
of the model to produce useful inferences.
Finally the danger of type III error should be kept in mind. Framing error can
occur commonly. If a sensitivity analysis is jointly implemented by the owner of
the problem (which may coincide with the modeller) and a practitioner (who
could again be a modeller or a statistician or a practitioner of sensitivity
analysis), it is important to avoid the former asking for just some technical
help from the latter upon a predefined framing of the problem. Most often than
not the practitioner will challenge the framing before anything else.
CONCLUDING REMARKS
factor prioritization, linked to Si;