More on Confidence Intervals for Partially Identified Parameters
This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. The extension is motivated by the discovery that for their final result, Imbens and Manski implicitly assumed locally superefficient estimation of a nuisance parameter. Copyright 2009 The Econometric Society.
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Volume (Year): 77 (2009)
Issue (Month): 4 (07)
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References listed on IDEAS
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.:
- Hannes Leeb & Benedikt M. Poetscher, 2005.
"Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator,"
Cowles Foundation Discussion Papers
1500, Cowles Foundation for Research in Economics, Yale University, revised Apr 2007.
- Leeb, Hannes & Potscher, Benedikt M., 2008. "Sparse estimators and the oracle property, or the return of Hodges' estimator," Journal of Econometrics, Elsevier, vol. 142(1), pages 201-211, January.
- Philip Haile, 2000.
"Inference with an Incomplete Model of English Auctions,"
Econometric Society World Congress 2000 Contributed Papers
1546, Econometric Society.
- Philip A. Haile & Elie Tamer, 2003. "Inference with an Incomplete Model of English Auctions," Journal of Political Economy, University of Chicago Press, vol. 111(1), pages 1-51, February.
- Haile,P.A. & Tamer,E.T., 2000. "Inference with an incomplete model of English auctions," Working papers 18, Wisconsin Madison - Social Systems.
- Bo E. Honoré & Elie Tamer, 2006. "Bounds on Parameters in Panel Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 74(3), pages 611-629, 05.
- 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 for Research in Economics, Yale University.
- Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(03), pages 669-709, June.
- Guido W. Imbens & Charles F. Manski, 2004.
"Confidence Intervals for Partially Identified Parameters,"
Econometric Society, vol. 72(6), pages 1845-1857, November.
- Guido Imbens & Charles F. Manski, 2003. "Confidence intervals for partially identified parameters," CeMMAP working papers CWP09/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
- Donald W. K. Andrews & Gustavo Soares, 2010.
"Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection,"
Econometric Society, vol. 78(1), pages 119-157, 01.
- Donald W.K. Andrews & Gustavo Soares, 2007. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Cowles Foundation Discussion Papers 1631, Cowles Foundation for Research in Economics, Yale University.
- Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February.
- Donald W. K. Andrews, 2000. "Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space," Econometrica, Econometric Society, vol. 68(2), pages 399-406, March.
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