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Set Inference in Latent Variables Models

  • Isabel Mourifie

    (Departement de Sciences Economiques, Universite de Montleal)

  • Marc Henry

    (Departement de Sciences Economiques, Universite de Montleal)

We propose a methodology for constructing valid confidence regions in incomplete models with latent variables satisfying moment equality restrictions. These include moment equality and inequality models with latent variables. The confidence regions are obtained by inverting tests based on the characterization of the identified set derived in Ekeland, Galichon, and Henry (2010). A valid boot- strap approximation of the distribution of the test statistic is derived under mild conditions and the confidence regions are shown to have correct asymptotic size.

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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-820.

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Length: 18 pages
Date of creation: Oct 2011
Date of revision:
Handle: RePEc:tky:fseres:2011cf820
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  1. Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2012. "Intersection bounds: estimation and inference," CeMMAP working papers CWP33/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Victor Chernozhukov & Han Hong & Elie Tamer, 2007. "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, Econometric Society, vol. 75(5), pages 1243-1284, 09.
  3. Federico A. Bugni, 2010. "Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set," Econometrica, Econometric Society, vol. 78(2), pages 735-753, 03.
  4. Jovanovic, Boyan, 1988. "Observable Implications Of Models With Multiple Equilibria," Working Papers 88-20, C.V. Starr Center for Applied Economics, New York University.
  5. Anthony Downs, 1957. "An Economic Theory of Political Action in a Democracy," Journal of Political Economy, University of Chicago Press, vol. 65, pages 135.
  6. Galichon, Alfred & Henry, Marc, 2009. "A test of non-identifying restrictions and confidence regions for partially identified parameters," Journal of Econometrics, Elsevier, vol. 152(2), pages 186-196, October.
  7. Federico Ciliberto & Elie Tamer, 2009. "Market Structure and Multiple Equilibria in Airline Markets," Econometrica, Econometric Society, vol. 77(6), pages 1791-1828, November.
  8. Andrew Chesher, 2008. "Instrumental variable models for discrete outcomes," CeMMAP working papers CWP30/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  9. Ivar Ekeland & Alfred Galichon & Marc Henry, 2010. "Optimal transportation and the falsifiability of incompletely specified economic models," Economic Theory, Springer, vol. 42(2), pages 355-374, February.
  10. Donald W. K. Andrews & Gustavo Soares, 2010. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica, Econometric Society, vol. 78(1), pages 119-157, 01.
  11. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
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