Inference in Incomplete Models
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0506-28.
Length: 51 pages
Date of creation: 2006
Date of revision:
Contact details of provider:
Postal: 1022 International Affairs Building, 420 West 118th Street, New York, NY 10027
Phone: (212) 854-3680
Fax: (212) 854-8059
Web page: http://www.econ.columbia.edu/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Komunjer, Ivana, 2008.
"Global Identification In Nonlinear Semiparametric Models,"
University of California at San Diego, Economics Working Paper Series
qt2r59d87f, Department of Economics, UC San Diego.
- Komunjer, Ivana, 2007. "Global Identification In Nonlinear Semiparametric Models," University of California at San Diego, Economics Working Paper Series qt8dk0n386, Department of Economics, UC San Diego.
- Toru Kitagawa, 2011. "Inference and decision for set identified parameters using posterior lower and upper probabilities," CeMMAP working papers CWP16/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arie Beresteanu & Ilya Molchanov & Francesca Molinari, 2009.
"Sharp identification regions in models with convex predictions: games, individual choice, and incomplete data,"
CeMMAP working papers
CWP27/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arie Beresteanu, 2009. "Sharp Identification Regions in Models with Convex Predictions: Games, Individual Choice, and Incomplete Data," Working Papers 428, University of Pittsburgh, Department of Economics, revised Sep 2010.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Discussion Paper Coordinator).
If references are entirely missing, you can add them using this form.