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Set identification, moment restrictions, and inference

Listed author(s):
  • Christian Bontemps

    ()

    (ENAC - Ecole Nationale de l'Aviation Civile, TSE - Toulouse School of Economics - Toulouse School of Economics)

  • Thierry Magnac

    (TSE - Toulouse School of Economics - Toulouse School of Economics)

For the past 10 years, the topic of set identification has been much studied in the econometric literature. Classical inference methods have been generalized to the case in which moment inequalities and equalities define a set instead of a point. We review several instances of partial identification by focusing on examples in which the underlying economic restrictions are expressed as linear moments. This setting illustrates the fact that convex analysis helps not only for characterizing the identified set but also for inference. From this perspective, we review inference methods using convex analysis or inversion of tests and detail how geometric characterizations can be useful.

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Paper provided by HAL in its series Post-Print with number hal-01575813.

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Date of creation: 01 Apr 2017
Publication status: Published in Annual Review of Economics, 2017, 9, pp. 103 - 129. <10.1146/annurev-economics-063016-103658>
Handle: RePEc:hal:journl:hal-01575813
DOI: 10.1146/annurev-economics-063016-103658
Note: View the original document on HAL open archive server: https://hal-enac.archives-ouvertes.fr/hal-01575813
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