A Test of Non-Identifying Restrictions and Confidence Regions for Partially Identified Parameters

31 Pages Posted: 22 Apr 2008 Last revised: 7 Mar 2011

Alfred Galichon

NYU, Department of Economics and Courant Institute

Marc Henry

Pennsylvania State University

Date Written: March 3, 2011

Abstract

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

Galichon, Alfred and Henry, Marc, A Test of Non-Identifying Restrictions and Confidence Regions for Partially Identified Parameters (March 3, 2011). Journal of Econometrics, Vol. 152, No. 2, 2009. Available at SSRN: https://ssrn.com/abstract=1123823 or http://dx.doi.org/10.2139/ssrn.1123823

Alfred Galichon (Contact Author)

NYU, Department of Economics and Courant Institute ( email )

269 Mercer Street, 7th Floor
New York, NY 10011
United States

Marc Henry

Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

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