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A test of non-identifying restrictions and confidence regions for partially identified parameters

  • Galichon, Alfred
  • Henry, Marc

We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and multiple equilibria. When the restrictions are parameterized, the test can be inverted to yield confidence regions for partially identified parameters, thereby complementing other proposals, primarily Chernozhukov et al. [Chernozhukov, V., Hong, H., Tamer, E., 2007. Estimation and confidence regions for parameter sets in econometric models. Econometrica 75, 1243-1285].

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4VFC836-2/2/37c2d5cebbebb1bd2bf9cc7c9edb0090
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 152 (2009)
Issue (Month): 2 (October)
Pages: 186-196

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Handle: RePEc:eee:econom:v:152:y:2009:i:2:p:186-196
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Arie Beresteanu & Francesca Molinari, 2008. "Asymptotic Properties for a Class of Partially Identified Models," Econometrica, Econometric Society, vol. 76(4), pages 763-814, 07.
  2. Adam Rosen, 2006. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," CeMMAP working papers CWP25/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Richard Blundell & Martin Browning & Ian Crawford, 2005. "Best nonparametric bounds on demand responses," IFS Working Papers W05/20, Institute for Fiscal Studies.
  4. Ackerberg, Daniel & Lanier Benkard, C. & Berry, Steven & Pakes, Ariel, 2007. "Econometric Tools for Analyzing Market Outcomes," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 63 Elsevier.
  5. Magnac, Thierry & Maurin, Eric, 2004. "Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data," IDEI Working Papers 280, Institut d'Économie Industrielle (IDEI), Toulouse, revised Jan 2005.
  6. Brock, William A. & Durlauf, Steven N., 2007. "Identification of binary choice models with social interactions," Journal of Econometrics, Elsevier, vol. 140(1), pages 52-75, September.
  7. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  8. Horowitz, J.L. & Manski, C.F., 1995. "Censoring of Outcomes and Regressors Due to Survey Nonresponse: Identification and estimation Using Weights and Imputations," Working Papers 95-12, University of Iowa, Department of Economics.
  9. Donald W.K. Andrews, 1996. "A Conditional Kolmogorov Test," Cowles Foundation Discussion Papers 1111R, Cowles Foundation for Research in Economics, Yale University.
  10. Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
  11. Philip Cross & Charles F. Manski, 2000. "Regressions, Short and Long," Econometric Society World Congress 2000 Contributed Papers 0385, Econometric Society.
  12. Victor Chernozhukov & Han Hong & Elie Tamer, 2007. "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, Econometric Society, vol. 75(5), pages 1243-1284, 09.
  13. Heckman, James J & Smith, Jeffrey, 1997. "Making the Most Out of Programme Evaluations and Social Experiments: Accounting for Heterogeneity in Programme Impacts," Review of Economic Studies, Wiley Blackwell, vol. 64(4), pages 487-535, October.
  14. Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Wiley Blackwell, vol. 70(1), pages 147-165, January.
  15. 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.
  16. repec:att:wimass:8909 is not listed on IDEAS
  17. Jovanovic, Boyan, 1988. "Observable Implications Of Models With Multiple Equilibria," Working Papers 88-20, C.V. Starr Center for Applied Economics, New York University.
  18. Xiaohong Chen & Han Hong & Elie Tamer, 2005. "Measurement Error Models with Auxiliary Data," Review of Economic Studies, Oxford University Press, vol. 72(2), pages 343-366.
  19. Charles F. Manski, 2004. "Social Learning from Private Experiences: The Dynamics of the Selection Problem," Review of Economic Studies, Wiley Blackwell, vol. 71(2), pages 443-458, 04.
  20. Manski, Charles F, 1990. "Nonparametric Bounds on Treatment Effects," American Economic Review, American Economic Association, vol. 80(2), pages 319-23, May.
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