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Confidence intervals for projections of partially identified parameters

Author

Listed:
  • Hiroaki Kaido

    (Institute for Fiscal Studies and Boston University)

  • Francesca Molinari

    (Institute for Fiscal Studies and Cornell University)

  • Jorg Stoye

    (Institute for Fiscal Studies and Cornell University)

Abstract

This paper proposes a bootstrap-based procedure to build confi dence intervals for single components of a partially identifi ed parameter vector, and for smooth functions of such components, in moment (in)equality models. The extreme points of our confi dence interval are obtained by maximizing/minimizing the value of the component (or function) of interest subject to the sample analog of the moment (in)equality conditions properly relaxed. The novelty is that the amount of relaxation, or critical level, is computed so that the component (or function) of ?, instead of ? itself, is uniformly asymptotically covered with prespeci ed probability. Calibration of the critical level is based on repeatedly checking feasibility of linear programming problems, rendering it computationally attractive. Computation of the extreme points of the con fidence interval is based on a novel application of the response surface method for global optimization, which may prove of independent interest also for applications of other methods of inference in the moment (in)equalities literature. The critical level is by construction smaller (in fi nite sample) than the one used if projecting con fience regions designed to cover the entire parameter vector. Hence, our con fidence interval is weakly shorter than the projection of established con fidence sets (Andrews and Soares, 2010), if one holds the choice of tuning parameters constant. We provide simple conditions under which the comparison is strict. Our inference method controls asymptotic coverage uniformly over a large class of data-generating processes. Our assumptions and those used in the leading alternative approach (a profi ling-based method) are not nested. We explain why we employ some restrictions that are not required by other methods and provide examples of models for which our method is uniformly valid but profi ling-based methods are not.

Suggested Citation

  • Hiroaki Kaido & Francesca Molinari & Jorg Stoye, 2016. "Confidence intervals for projections of partially identified parameters," CeMMAP working papers CWP02/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  • Handle: RePEc:ifs:cemmap:02/16
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    References listed on IDEAS

    as
    1. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(3), pages 669-709, June.
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    5. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2014. "A Practical Two‐Step Method for Testing Moment Inequalities," Econometrica, Econometric Society, vol. 82, pages 1979-2002, September.
    6. Hiroaki Kaido & Andres Santos, 2014. "Asymptotically Efficient Estimation of Models Defined by Convex Moment Inequalities," Econometrica, Econometric Society, vol. 82(1), pages 387-413, January.
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    11. Hiroaki Kaido & Francesca Molinari & Jorg Stoye, 2019. "Constraint Qualifications in Partial Identification," Papers 1908.09103, arXiv.org, revised Apr 2021.
    12. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2014. "Inference for functions of partially identified parameters in moment inequality models," CeMMAP working papers CWP05/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    13. Donald W. K. Andrews & Panle Jia Barwick, 2012. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Econometrica, Econometric Society, vol. 80(6), pages 2805-2826, November.
    14. Jorg Stoye, 2009. "More on Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 77(4), pages 1299-1315, July.
    15. Kaido, Hiroaki, 2016. "A dual approach to inference for partially identified econometric models," Journal of Econometrics, Elsevier, vol. 192(1), pages 269-290.
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    More about this item

    Keywords

    Partial identification; inference on projections; moment inequalities; uniform inference.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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