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A test of non-identifying restrictions and confidence regions for partially identified parameters
[journal article]
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 ... view more
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].... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
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
DOI
https://doi.org/10.1016/j.jeconom.2009.01.010
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)