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Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model

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  • Chen, Heng
  • Fan, Yanqin
  • Liu, Ruixuan

Abstract

We propose estimators of sharp bounds on the correlation coefficient between potential outcomes in the Gaussian switching regime model and develop an asymptotically uniformly valid and non-conservative confidence set for the true correlation coefficient. A boundary-interior-category selection procedure is proposed to deal with discontinuity of the pointwise asymptotic distribution of estimators of the sharp bounds. Our confidence set is easy to implement: it takes the form of a closed interval and its critical values have closed-form expressions. Simulation study reveals the better finite sample performance of our confidence set than the naive confidence set ignoring the discontinuity issue.

Suggested Citation

  • Chen, Heng & Fan, Yanqin & Liu, Ruixuan, 2016. "Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model," Journal of Econometrics, Elsevier, vol. 195(2), pages 255-270.
    • Handle: RePEc:eee:econom:v:195:y:2016:i:2:p:255-270
    DOI: 10.1016/j.jeconom.2016.09.003
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    Cited by:

    1. Giorgio Calzolari & Antonino Di Pino, 2017. "Self-selection and direct estimation of across-regime correlation parameter," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(12), pages 2142-2160, September.

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    More about this item

    Keywords

    Boundary; Confidence set; Constrained estimation; Interior; Partial identification;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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