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Set Inference in Latent Variables Models

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  • Isabel Mourifie

    (Departement de Sciences Economiques, Universite de Montleal)

  • Marc Henry

    (Departement de Sciences Economiques, Universite de Montleal)

Abstract

We propose a methodology for constructing valid confidence regions in incomplete models with latent variables satisfying moment equality restrictions. These include moment equality and inequality models with latent variables. The confidence regions are obtained by inverting tests based on the characterization of the identified set derived in Ekeland, Galichon, and Henry (2010). A valid boot- strap approximation of the distribution of the test statistic is derived under mild conditions and the confidence regions are shown to have correct asymptotic size.

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Bibliographic Info

Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-820.

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Length: 18 pages
Date of creation: Oct 2011
Date of revision:
Handle: RePEc:tky:fseres:2011cf820

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  1. Andrew Chesher, 2008. "Instrumental variable models for discrete outcomes," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP30/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Galichon, Alfred & Henry, Marc, 2009. "A test of non-identifying restrictions and confidence regions for partially identified parameters," Journal of Econometrics, Elsevier, Elsevier, vol. 152(2), pages 186-196, October.
  3. Victor Chernozhukov & Sokbae Lee & Adam M. Rosen, 2013. "Intersection Bounds: Estimation and Inference," Econometrica, Econometric Society, Econometric Society, vol. 81(2), pages 667-737, 03.
  4. Donald W.K. Andrews & Gustavo Soares, 2007. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1631, Cowles Foundation for Research in Economics, Yale University.
  5. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 365-380, October.
  6. Ivar Ekeland & Alfred Galichon & Marc Henry, 2010. "Optimal transportation and the falsifiability of incompletely specified economic models," Economic Theory, Springer, Springer, vol. 42(2), pages 355-374, February.
  7. Victor Chernozhukov & Han Hong & Elie Tamer, 2007. "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, Econometric Society, Econometric Society, vol. 75(5), pages 1243-1284, 09.
  8. Elie Tamer & Federico Ciliberto, 2004. "Market Structure and Multiple Equilibria in Airline Markets," Econometric Society 2004 North American Winter Meetings 517, Econometric Society.
  9. Jovanovic, Boyan, 1989. "Observable Implications of Models with Multiple Equilibria," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1431-37, November.
  10. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  11. Federico A. Bugni, 2010. "Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set," Econometrica, Econometric Society, Econometric Society, vol. 78(2), pages 735-753, 03.
  12. Anthony Downs, 1957. "An Economic Theory of Political Action in a Democracy," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 65, pages 135.
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