A Test of Non-Identifying Restrictions and Confidence Regions for Partially Identified Parameters
31 Pages Posted: 22 Apr 2008 Last revised: 7 Mar 2011
Date Written: March 3, 2011
We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and multiple equilibria. When the restrictions are parameterized, the test can be inverted to yield confidence regions for partially identified parameters, thereby complementing other proposals, primarily Chernozhukov, Hong and Tamer (2007).
Keywords: partial identification, mass transportation, specification test
JEL Classification: C10, C12, C13, C14, C52, C61
Suggested Citation: Suggested Citation