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

被引：35

作者：

Galichon, Alfred ^{[1
]}

Henry, Marc ^{[2
]}

机构：

[1] Ecole Polytech, Dept Econ, F-91128 Palaiseau, France

[2] Univ Montreal, Dept Sci Econ, Montreal, PQ H3C 3J7, Canada

来源：

JOURNAL OF ECONOMETRICS | 2009年 / 152卷 / 02期

关键词：

Partial identification; Mass transportation; Specification test; NONPARAMETRIC BOUNDS; EMPIRICAL PROCESSES; MODELS; REGRESSORS; SETS;

D O I：

10.1016/j.jeconom.2009.01.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 anymodel 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., Hong. H., Tamer, E., 2007. Estimation and confidence regions for parameter sets in econometric models. Econometrica 75, 1243-1285]. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：186 / 196

页数：11

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