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Improving confidence set estimation when parameters are weakly identified

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  • Battey, Heather
  • Feng, Qiang
  • Smith, Richard J.

Abstract

We consider inference in weakly identified moment condition models when additional partially identifying moment inequality constraints are available. We detail the limiting distribution of the estimation criterion function and consequently propose a confidence set estimator for the true parameter.

Suggested Citation

  • Battey, Heather & Feng, Qiang & Smith, Richard J., 2016. "Improving confidence set estimation when parameters are weakly identified," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 117-123.
  • Handle: RePEc:eee:stapro:v:118:y:2016:i:c:p:117-123
    DOI: 10.1016/j.spl.2016.06.015
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    References listed on IDEAS

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    1. Guggenberger, Patrik & Smith, Richard J., 2005. "Generalized Empirical Likelihood Estimators And Tests Under Partial, Weak, And Strong Identification," Econometric Theory, Cambridge University Press, vol. 21(04), pages 667-709, August.
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    11. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
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