Set Inference in Latent Variables Models

Econometrics Journal, Forthcoming

17 Pages Posted: 12 Oct 2011 Last revised: 12 May 2012

See all articles by Ismael Mourifie

Ismael Mourifie

University of Toronto - Department of Economics

Marc Henry

Pennsylvania State University

Date Written: February 28, 2011

Abstract

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

Suggested Citation

Mourifie, Ismael and Henry, Marc, Set Inference in Latent Variables Models (February 28, 2011). Econometrics Journal, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1773091 or http://dx.doi.org/10.2139/ssrn.1773091

Ismael Mourifie

University of Toronto - Department of Economics ( email )

150 St. George Street
Toronto, Ontario M5S3G7
Canada

Marc Henry (Contact Author)

Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

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