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More on Confidence Intervals for Partially Identified Parameters

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  • Jorg Stoye

Abstract

This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. The extension is motivated by the discovery that for their final result, Imbens and Manski implicitly assumed locally superefficient estimation of a nuisance parameter. Copyright 2009 The Econometric Society.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 77 (2009)
Issue (Month): 4 (07)
Pages: 1299-1315

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Handle: RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1299-1315

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  1. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(03), pages 669-709, June.
  2. Donald W. K. Andrews, 2000. "Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space," Econometrica, Econometric Society, vol. 68(2), pages 399-406, March.
  3. Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February.
  4. Donald W. K. Andrews & Gustavo Soares, 2010. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica, Econometric Society, vol. 78(1), pages 119-157, 01.
  5. Philip Haile, 2000. "Inference with an Incomplete Model of English Auctions," Econometric Society World Congress 2000 Contributed Papers 1546, Econometric Society.
  6. Hannes Leeb & Benedikt M. Poetscher, 2005. "Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator," Cowles Foundation Discussion Papers 1500, Cowles Foundation for Research in Economics, Yale University, revised Apr 2007.
  7. Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
  8. Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
  9. Bo E. Honoré & Elie Tamer, 2006. "Bounds on Parameters in Panel Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 74(3), pages 611-629, 05.
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