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A test of non-identifying restrictions and confidence regions for partially identified parameters

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Galichon, Alfred; Henry, Marc

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Abstract We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and multiple equilibria. When the restrictions are parameterized, the test can be inverted to yield confidence regions for partially identified parameters, thereby complementing other proposals, primarily Chernozhukov et al. [Chernozhukov, V., H. Hong, and E. Tamer (2007): ”Estimation and Confidence Regions for Parameter Sets in Econometric Models,” Econometrica, 75, 1243–1285].
Classification Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods; Economic Statistics, Econometrics, Business Informatics
Free Keywords Partial identification; Mass transportation; Specification test; JEL classification: C10; C12; C13; C14; C52; C61
Document language English
Publication Year 2009
Page/Pages p. 186-196
Journal Journal of Econometrics, 152 (2009) 2
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)