Set Identification, Moment Restrictions, and Inference

Posted: 14 Aug 2017

See all articles by Christian Bontemps

Christian Bontemps

Toulouse School of Economics

Thierry Magnac

Toulouse School of Economics; University of Toulouse 1 - Industrial Economic Institute (IDEI); IZA Institute of Labor Economics; Centre for Economic Policy Research (CEPR)

Date Written: August 2017

Abstract

For the past 10 years, the topic of set identification has been much studied in the econometric literature. Classical inference methods have been generalized to the case in which moment inequalities and equalities define a set instead of a point. We review several instances of partial identification by focusing on examples in which the underlying economic restrictions are expressed as linear moments. This setting illustrates the fact that convex analysis helps not only for characterizing the identified set but also for inference. From this perspective, we review inference methods using convex analysis or inversion of tests and detail how geometric characterizations can be useful.

Suggested Citation

Bontemps, Christian and Magnac, Thierry, Set Identification, Moment Restrictions, and Inference (August 2017). Annual Review of Economics, Vol. 9, pp. 103-129, 2017. Available at SSRN: https://ssrn.com/abstract=3017731 or http://dx.doi.org/10.1146/annurev-economics-063016-103658

Christian Bontemps (Contact Author)

Toulouse School of Economics

21 allee de Brienne
Toulouse, 31000
France

Thierry Magnac

Toulouse School of Economics ( email )

Manufacture des Tabacs
21 Allees de Brienne
Toulouse, 31000
France

University of Toulouse 1 - Industrial Economic Institute (IDEI) ( email )

Manufacture des Tabacs
21 Allee de Brienne bat. F
Toulouse Cedex, F-31000
France

IZA Institute of Labor Economics ( email )

P.O. Box 7240
Bonn, D-53072
Germany

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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