Considerations on partially identified regression models
AbstractMotivated by Manski and Tamer (2002) and especially their partial identification anal- ysis of the regression model where one covariate is only interval-measured, we offer several contributions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The modified minimum distance (MMD) estimates the true identified set and the modified method of moments (MMM) a superset. Our first contri- bution is to characterize the true identified set and the superset. Second, we complete and extend the Monte Carlo study of Manski and Tamer (2002). We present benchmark results using the exact functional form for the expectation of the dependent variable conditional on observables to compare with results using its nonparametric estimates, and illustrate the superiority of MMD over MMM. For MMD, we propose a simple shortcut for estimation.
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Bibliographic InfoPaper provided by Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg in its series Working Papers of BETA with number 2012-07.
Date of creation: 2012
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partial identification; true identified set; superset; MMD; MMM; estimation.;
Other versions of this item:
- Cerquera, Daniel & Laisney, François & Ullrich, Hannes, 2012. "Considerations on partially identified regression models," ZEW Discussion Papers 12-024, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-14 (All new papers)
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