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Inference in Incomplete Models

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Author Info
Alfred Galichon () (Harvard University - Department of Economics)
Marc Henry () (Columbia University - Department of Economics)

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Abstract

We provide a test for the specification of a structural model without identifying assumptions. We show the equivalence of several natural formulations of correct specification, which we take as our null hypothesis. From a natural empirical version of the latter, we derive a Kolmogorov-Smirnov statistic for Choquet capacity functionals, which we use to construct our test. We derive the limiting distribution of our test statistic under the null, and show that our test is consistent against certain classes of alternatives. When the model is given in parametric form, the test can be inverted to yield confidence regions for the identified parameter set. The approach can be applied to the estimation of models with sample selection, censored observables and to games with multiple equilibria.

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File URL: http://www.econ.columbia.edu/RePEc/pdf/DP0506-28.pdf
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Publisher Info
Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0506-28.

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Length: 51 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:clu:wpaper:0506-28

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  1. Beresteanu, Arie & Molinari, Francesca, 2006. "Asymptotic Properties for a Class of Partially Identified Models," Working Papers 06-07, Cornell University, Center for Analytic Economics. [Downloadable!]
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  2. Jovanovic, Boyan, 1989. "Observable Implications of Models with Multiple Equilibria," Econometrica, Econometric Society, vol. 57(6), pages 1431-37, November. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1620, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  2. Patrick Bajari & Jeremy Fox & Stephen Ryan, 2008. "Evaluating wireless carrier consolidation using semiparametric demand estimation," Quantitative Marketing and Economics, Springer, vol. 6(4), pages 299-338, December. [Downloadable!] (restricted)
    Other versions:
  3. Ivana Komunjer, 2008. "Global Identification In Nonlinear Semiparametric Models," University of California at San Diego, Economics Working Paper Series 2007-06R1, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  4. Beresteanu, Arie & Molinari, Francesca, 2006. "Asymptotic Properties for a Class of Partially Identified Models," Working Papers 06-07, Cornell University, Center for Analytic Economics. [Downloadable!]
    Other versions:
  5. Hyungsik Roger Moon & Frank Schorfheide, 2009. "Bayesian and Frequentist Inference in Partially Identified Models," NBER Working Papers 14882, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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