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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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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
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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.
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  3. Richard Blundell & Martin Browning & Ian Crawford, 2008. "Best Nonparametric Bounds on Demand Responses," Econometrica, Econometric Society, vol. 76(6), pages 1227-1262, November.
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  6. 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.
  7. Donald W.K. Andrews, 1996. "A Conditional Kolmogorov Test," Cowles Foundation Discussion Papers 1111R, Cowles Foundation for Research in Economics, Yale University.
  8. Manski, Charles F, 1990. "Nonparametric Bounds on Treatment Effects," American Economic Review, American Economic Association, vol. 80(2), pages 319-23, May.
  9. Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 147-165.
  10. 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.
  11. 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.
  12. Charles F. Manski, 2004. "Social Learning from Private Experiences: The Dynamics of the Selection Problem," Review of Economic Studies, Oxford University Press, vol. 71(2), pages 443-458.
  13. Philip J. Cross & Charles F. Manski, 2002. "Regressions, Short and Long," Econometrica, Econometric Society, vol. 70(1), pages 357-368, January.
  14. Joel L. Horowitz & Charles F. Manski, 1996. "Censoring of Outcomes and Regressors Due To Survey Nonresponse: Identification and Estimation Using Weights and Imputations," Econometrics 9602007, EconWPA, revised 06 Mar 1996.
  15. Thierry Magnac & Eric Maurin, 2004. "Partial Identification in Monotone Binary Models : Discrete Regressors and Interval Data," Working Papers 2004-11, Centre de Recherche en Economie et Statistique.
  16. 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.
  17. 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.
  18. 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.
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