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More on Confidence Intervals for Partially Identified Parameters

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  • Jorg Stoye

Abstract

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.

Suggested Citation

  • Jorg Stoye, 2009. "More on Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 77(4), pages 1299-1315, July.
    • Handle: RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1299-1315
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    References listed on IDEAS

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    1. 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(3), pages 669-709, June.
    2. 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.
    3. Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
    4. 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.
    5. Bo E. Honoré & Elie Tamer, 2006. "Bounds on Parameters in Panel Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 74(3), pages 611-629, May.
    6. Leeb, Hannes & Pötscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(1), pages 21-59, February.
    7. Donald W. K. Andrews & Gustavo Soares, 2010. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica, Econometric Society, vol. 78(1), pages 119-157, January.
    8. 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.
    9. Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
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    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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