Set Inference in Latent Variables Models
AbstractWe 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 InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-820.
Length: 18 pages
Date of creation: Oct 2011
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