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Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities

  • Adam Rosen

    ()

    (Institute for Fiscal Studies and University College London)

This paper proposes a new way to construct confidence sets for a parameter of interest in models comprised of finitely many moment inequalities. Building on results from the literature on multivariate one-sided tests, I show how to test the hypothesis that any particular parameter value is logically consistent with the maintained moment inequalities. The associated test statistic has an asymptotic chi-bar-square distribution, and can be inverted to construct an asymptotic confidence set for the parameter of interest, even if that parameter is only partially identified. The confidence sets are easily computed, and Monte Carlo simulations demonstrate good finite sample performance.

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File URL: http://cemmap.ifs.org.uk/wps/cwp2506.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP25/06.

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Length: 39 pp.
Date of creation: Dec 2006
Date of revision:
Handle: RePEc:ifs:cemmap:25/06
Contact details of provider: Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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  1. Horowitz, Joel & Manski, Charles, 1997. "Nonparametric Analysis of Randomized Experiments With Missing Covariate and Outcome Data," Working Papers 97-16, University of Iowa, Department of Economics.
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  28. repec:att:wimass:9526 is not listed on IDEAS
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