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More on Confidence Intervals for Partially Identified Parameters

  • Jorg Stoye

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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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 77 (2009)
Issue (Month): 4 (07)
Pages: 1299-1315

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Handle: RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1299-1315
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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Haile,P.A. & Tamer,E.T., 2000. "Inference with an incomplete model of English auctions," Working papers 18, Wisconsin Madison - Social Systems.
  6. Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
  7. 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.
  8. 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.
  9. 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.
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