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Combinatorial Bootstrap Inference IN in Prtially Identified Incomplete Structural Models

  • Marc Henry

    (Department of Economics, Universit� de Montr�al)

  • Romuald M�ango

    (Department of Economics, Universit� de Montr�al)

  • Maurice Queyranne

    (Sauder School of Business)

We propose a computationally feasible inference method infinite games of complete information. Galichon and Henry (2011) and Beresteanu, Molchanov, and Molinari (2011) show that such models are equivalent to a collection of moment inequalities that increases exponentially with the number of discrete outcomes. We propose an equivalent characterization based on classical combinatorial optimization methods that alleviates this computational burden and allows the construction of confidence regions with an effcient combinatorial bootstrap procedure that runs in linear computing time. The method can also be applied to the empirical analysis of cooperative and noncooperative games, instrumental variable models of discrete choice and revealed preference analysis. We propose an application to the determinants of long term elderly care choices.

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File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf837.pdf
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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-837.

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Length: 37 pages
Date of creation: Jan 2012
Date of revision:
Handle: RePEc:tky:fseres:2012cf837
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  1. 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.
  2. Peter Kooreman & Adriaan R. Soetevent, 2007. "A discrete-choice model with social interactions: with an application to high school teen behavior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 599-624.
  3. Alfred Galichon & Marc Henry, 2011. "Set Identification in Models with Multiple Equilibria," Review of Economic Studies, Oxford University Press, vol. 78(4), pages 1264-1298.
  4. 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.
  5. Marc Henry & Alexei Onatski, 2011. "Set Coverage and Robust Policy," CIRJE F-Series CIRJE-F-821, CIRJE, Faculty of Economics, University of Tokyo.
  6. 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.
  7. Donald W.K. Andrews & Gustavo Soares, 2007. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Cowles Foundation Discussion Papers 1631, Cowles Foundation for Research in Economics, Yale University.
  8. Manski, C.F., 1991. "Identification of Endogenous Social Effects: the Reflection Problem," Working papers 9127, Wisconsin Madison - Social Systems.
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  11. Andrew Chesher, 2008. "Instrumental variable models for discrete outcomes," CeMMAP working papers CWP30/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  12. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, vol. 146(1), pages 107-117, September.
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  14. Patrick Bajari & Han Hong & Stephen P. Ryan, 2010. "Identification and Estimation of a Discrete Game of Complete Information," Econometrica, Econometric Society, vol. 78(5), pages 1529-1568, 09.
  15. Panle Jia, 2008. "What Happens When Wal-Mart Comes to Town: An Empirical Analysis of the Discount Retailing Industry," Econometrica, Econometric Society, vol. 76(6), pages 1263-1316, November.
  16. Federico Echenique & Sangmok Lee & Matthew Shum & M. Bumin Yenmez, 2013. "The Revealed Preference Theory of Stable and Extremal Stable Matchings," Econometrica, Econometric Society, vol. 81(1), pages 153-171, 01.
  17. Aradillas-Lopez, Andres, 2010. "Semiparametric estimation of a simultaneous game with incomplete information," Journal of Econometrics, Elsevier, vol. 157(2), pages 409-431, August.
  18. Bresnahan, Timothy F & Reiss, Peter C, 1990. "Entry in Monopoly Markets," Review of Economic Studies, Wiley Blackwell, vol. 57(4), pages 531-53, October.
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