Abstract

https://ssrn.com/abstract=2473768
 


 



A Note on Regressions with Interval Data on a Regressor


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 26, 2015


Abstract:     
We reconsider the partial identification analysis of the regression model in Manski and Tamer (2002) where one covariate is only interval-measured and present two additional sets of results. 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 estimate. We illustrate the superiority of MMD over MMM, as well as the advantage of adopting a geometric estimation approach in both cases.

Number of Pages in PDF File: 25

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

JEL Classification: C01, C13, C40


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Date posted: July 31, 2014 ; Last revised: March 29, 2015

Suggested Citation

Cerquera, Daniel and Laisney, Francois and Ullrich, Hannes, A Note on Regressions with Interval Data on a Regressor (March 26, 2015). Available at SSRN: https://ssrn.com/abstract=2473768 or http://dx.doi.org/10.2139/ssrn.2473768

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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