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

Publication ,  Journal Article
Rosen, AM
Published in: Journal of Econometrics
September 1, 2008

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. © 2008 Elsevier B.V. All rights reserved.

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Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

September 1, 2008

Volume

146

Issue

1

Start / End Page

107 / 117

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

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Rosen, A. M. (2008). Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities. Journal of Econometrics, 146(1), 107–117. https://doi.org/10.1016/j.jeconom.2008.08.001
Rosen, A. M. “Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities.” Journal of Econometrics 146, no. 1 (September 1, 2008): 107–17. https://doi.org/10.1016/j.jeconom.2008.08.001.
Rosen, A. M. “Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities.” Journal of Econometrics, vol. 146, no. 1, Sept. 2008, pp. 107–17. Scopus, doi:10.1016/j.jeconom.2008.08.001.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

September 1, 2008

Volume

146

Issue

1

Start / End Page

107 / 117

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics