UCL logo

UCL Discovery

UCL home » Library Services » Electronic resources » UCL Discovery

Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities

Rosen, AM; (2008) Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities. J ECONOMETRICS , 146 (1) 107 - 117. 10.1016/j.jeconom.2008.08.001.

Full text not available from this repository.

Abstract

This paper proposes a computationally simple way to construct confidence sets for a parameter of interest in models comprised of moment inequalities. Building on results from the literature on multivariate one-sided tests, I show how to test the hypothesis that any particular parameter value is logically consistent with the maintained moment inequalities. The associated test statistic has an asymptotic chi-bar-square distribution, and can be inverted to construct an asymptotic confidence set for the parameter of interest, even if that parameter is only partially identified. Critical values for the test are easily computed, and a Monte Carlo study demonstrates implementation and finite sample performance. (C) 2008 Elsevier B.V. All rights reserved.

Type: Article
Title: Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
DOI: 10.1016/j.jeconom.2008.08.001
Keywords: Partial identification, Inference, Moment inequalities, INSTRUMENTAL VARIABLES, ORDERED ALTERNATIVES, ECONOMETRIC-MODELS, CONSTRAINTS, REGRESSION, WEAK, HOMOGENEITY, INFERENCE, EQUALITY, BOUNDS
UCL classification: UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/459834
Downloads since deposit
0Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item