IDEAS home Printed from https://ideas.repec.org/a/ecm/emetrp/v78y2010i2p735-753.html
   My bibliography  Save this article

Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set

Author

Listed:
  • Federico A. Bugni

Abstract

This paper introduces a novel bootstrap procedure to perform inference in a wide class of partially identified econometric models. We consider econometric models defined by finitely many weak moment inequalities, -super-2 which encompass many applications of economic interest. The objective of our inferential procedure is to cover the identified set with a prespecified probability. -super-3 We compare our bootstrap procedure, a competing asymptotic approximation, and subsampling procedures in terms of the rate at which they achieve the desired coverage level, also known as the error in the coverage probability. Under certain conditions, we show that our bootstrap procedure and the asymptotic approximation have the same order of error in the coverage probability, which is smaller than that obtained by using subsampling. This implies that inference based on our bootstrap and asymptotic approximation should eventually be more precise than inference based on subsampling. A Monte Carlo study confirms this finding in a small sample simulation. Copyright 2010 The Econometric Society.

Suggested Citation

  • Federico A. Bugni, 2010. "Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set," Econometrica, Econometric Society, vol. 78(2), pages 735-753, March.
  • Handle: RePEc:ecm:emetrp:v:78:y:2010:i:2:p:735-753
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.3982/ECTA8056
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:78:y:2010:i:2:p:735-753. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/essssea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.