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Inference for Interval-Identified Parameters Selected from an Estimated Set

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  • Sukjin Han
  • Adam McCloskey

Abstract

Interval identification of parameters such as average treatment effects, average partial effects and welfare is particularly common when using observational data and experimental data with imperfect compliance due to the endogeneity of individuals' treatment uptake. In this setting, a treatment or policy will typically become an object of interest to the researcher when it is either selected from the estimated set of best-performers or arises from a data-dependent selection rule. In this paper, we develop new inference tools for interval-identified parameters chosen via these forms of selection. We develop three types of confidence intervals for data-dependent and interval-identified parameters, discuss how they apply to several examples of interest and prove their uniform asymptotic validity under weak assumptions.

Suggested Citation

  • Sukjin Han & Adam McCloskey, 2024. "Inference for Interval-Identified Parameters Selected from an Estimated Set," Papers 2403.00422, arXiv.org.
    • Handle: RePEc:arx:papers:2403.00422
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    References listed on IDEAS

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    1. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
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