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Dilation Bootstrap

34 Pages Posted: 4 Oct 2006 Last revised: 27 Nov 2013

Alfred Galichon

NYU, Department of Economics and Courant Institute

Marc Henry

Pennsylvania State University

Date Written: October 22, 2012

Abstract

We propose a methodology for constructing confidence regions with partially identified models of general form. The region is obtained by inverting a test of internal consistency of the econometric structure. We develop a dilation bootstrap methodology to deal with sampling uncertainty without reference to the hypothesized economic structure. It requires bootstrapping the quantile process for univariate data and a novel generalization of the latter to higher dimensions. Once the dilation is chosen to control the confidence level, the unknown true distribution of the observed data can be replaced by the known empirical distribution and confidence regions can then be obtained as in Galichon and Henry (2011) and Beresteanu, Molchanov and Molinari (2011).

Keywords: Partial identification, dilation bootstrap, quantile process, optimal matching

JEL Classification: C15, C31

Suggested Citation

Galichon, Alfred and Henry, Marc, Dilation Bootstrap (October 22, 2012). Journal of Econometrics, Vol. 177, No. 1, 2013. Available at SSRN: https://ssrn.com/abstract=934442 or http://dx.doi.org/10.2139/ssrn.934442

Alfred Galichon (Contact Author)

NYU, Department of Economics and Courant Institute ( email )

269 Mercer Street, 7th Floor
New York, NY 10011
United States

Marc Henry

Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

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