Asymptotic Properties for a Class of Partially Identified Models
CAE Working Paper No. 06-07
58 Pages Posted: 11 Jan 2007
Date Written: June 5, 2006
We propose inference procedures for partially identified population features for which the population identification region can be written as a transformation of the Aumann expectation of a properly defined set valued random variable (SVRV). An SVRV is a mapping that associates a set (rather than a real number) with each element of the sample space. Examples of population features in this class include sample means and best linear predictors with interval outcome data, and parameters of semiparametric binary models with interval regressor data. We extend the analogy principle to SVRVs, and show that the sample analog estimator of the population identificaiton region is given by a transformation of a Minkowski average SVRVs. Using the results of the mathematics literature on SVRVs, we show that this estimator converges in probability to the identificaiton region of the model with respect to the Hausdorff distance. We then show that the Hausdorff distance between the estimator and the population identification region, when properly normalized by square n, converges in distribution to the supremum of a Gaussian process whose covariance kernel depends on parameters of the population identificaiton region. We provide consistent bootstrap procedures to approximate this limiting distribution. Using similar arguments as those applied for vector valued random variables, we develop a methodology to test assumptions about the true identificaiton region and to calcuate the power of the test. We show that these results can be used to construct a confidence collection, that is a collection of sets that, when specified as null hypothesis for the true value of the population identification region, cannot be rejected by our test.
Keywords: Partial identificaiton, confidence collections, set-valued random variables
JEL Classification: C14
Suggested Citation: Suggested Citation