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A test of non-identifying restrictions and confidence regions for partially identified parameters
[Zeitschriftenartikel]
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 ... mehr
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].... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Freie Schlagwörter
Partial identification; Mass transportation; Specification test; JEL classification: C10; C12; C13; C14; C52; C61
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 186-196
Zeitschriftentitel
Journal of Econometrics, 152 (2009) 2
DOI
https://doi.org/10.1016/j.jeconom.2009.01.010
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)