Download This PaperA 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
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: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Inference in Incomplete Models
By Alfred Galichon and Marc Henry
-
Asymptotic Properties for a Class of Partially Identified Models
-
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
-
Applications of Subsampling, Hybrid, and Size-Correction Methods
-
Set Identification in Models with Multiple Equilibria
By Alfred Galichon and Marc Henry
-
The Limit of Finite-Sample Size and a Problem With Subsampling
-
Bayesian and Frequentist Inference in Partially Identified Models
-
Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions