Abstract

https://ssrn.com/abstract=1975022
 


 



Considerations on Partially Identified Regression Models


Daniel Cerquera


Centre for European Economic Research (ZEW)

Francois Laisney


Centre for European Economic Research (ZEW)

Hannes Ullrich


University of Zurich - Faculty of Economics, Business Administration and Information Technology; German Institute for Economic Research (DIW Berlin) - Innovation, Management, Service

March 30, 2012

Working Papers of BETA (Bureau d'Economie Théorique et Appliquée) No. 2012-07
ZEW - Centre for European Economic Research Discussion Paper No. 12-024

Abstract:     
Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we offer several contributions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The modified minimum distance (MMD) estimates the true identified set and the modified method of moments (MMM) a superset. Our first contribution is to characterize the true identified set and the superset. Second, we complete and extend the Monte Carlo study of Manski and Tamer (2002). We present benchmark results using the exact functional form for the expectation of the dependent variable conditional on observables to compare with results using its nonparametric estimates, and illustrate the superiority of MMD over MMM. For MMD, we propose a simple shortcut for estimation.

Number of Pages in PDF File: 42

Keywords: partial identification, true identified set, superset, MMD, MMM, estimation

JEL Classification: C01, C13, C40


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Date posted: December 20, 2011 ; Last revised: July 30, 2014

Suggested Citation

Cerquera, Daniel and Laisney, Francois and Ullrich, Hannes, Considerations on Partially Identified Regression Models (March 30, 2012). Working Papers of BETA (Bureau d'Economie Théorique et Appliquée) No. 2012-07; ZEW - Centre for European Economic Research Discussion Paper No. 12-024. Available at SSRN: https://ssrn.com/abstract=1975022 or http://dx.doi.org/10.2139/ssrn.1975022

Contact Information

Daniel Cerquera
Centre for European Economic Research (ZEW) ( email )
P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany
Francois Laisney (Contact Author)
Centre for European Economic Research (ZEW) ( email )
P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany
Hannes Ullrich
University of Zurich - Faculty of Economics, Business Administration and Information Technology ( email )
Plattenstrasse 14
Zurich, 8032
Switzerland
German Institute for Economic Research (DIW Berlin) - Innovation, Management, Service ( email )
Mohrenstraße 58
Berlin, 10117
Germany
+493089789521 (Phone)
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