Set Inference in Latent Variables Models
Econometrics Journal, Forthcoming
17 Pages Posted: 12 Oct 2011 Last revised: 12 May 2012
Date Written: February 28, 2011
We propose a methodology for constructing valid confidence regions in incomplete models with latent variables satisfying moment equality restrictions. These include moment equality and inequality models with latent variables. The confidence regions are obtained by inverting tests based on the characterization of the identified set derived in Ekeland, Galichon and Henry (2010). A valid bootstrap approximation of the distribution of the test statistic is derived under mild conditions and the confidence regions are shown to have correct asymptotic size.
Keywords: incomplete models, latent variables, partial identification, confidence regions
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