Download this Paper Open PDF in Browser

A Note on Regressions with Interval Data on a Regressor

32 Pages Posted: 21 Oct 2014  

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

Multiple version iconThere are 2 versions of this paper

Date Written: October 2014

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 present two extensions. 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, and illustrate the superiority of MMD over MMM.

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

JEL Classification: C01, C13, C40

Suggested Citation

Cerquera, Daniel and Laisney, Francois and Ullrich, Hannes, A Note on Regressions with Interval Data on a Regressor (October 2014). DIW Berlin Discussion Paper No. 1419. Available at SSRN: https://ssrn.com/abstract=2512195 or http://dx.doi.org/10.2139/ssrn.2512195

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

Centre for European Economic Research (ZEW) ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

Hannes Ullrich (Contact Author)

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 )

Mohrenstra├če 58
Berlin, 10117
Germany
+493089789521 (Phone)

Paper statistics

Downloads
15
Abstract Views
151