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dc.contributor.authorBontemps, Christianen_US
dc.contributor.authorMagnac, Thierryen_US
dc.contributor.authorMaurin, Ericen_US
dc.date.accessioned2011-05-05en_US
dc.date.accessioned2012-10-16T13:11:07Z-
dc.date.available2012-10-16T13:11:07Z-
dc.date.issued2011en_US
dc.identifier.pidoi:10.1920/wp.cem.2011.1311en_US
dc.identifier.urihttp://hdl.handle.net/10419/64804-
dc.description.abstractWe analyze the identification and estimation of parameters β satisfying the incomplete linear moment restrictions E(zT (xβ−y)) = E(zT u(z)) where z is a set of instruments and u(z) an unknown bounded scalar function. We first provide empirically relevant examples of such a set-up. Second, we show that these conditions set identify β where the identified set B is bounded and convex. We provide a sharp characterization of the identified set not only when the number of moment conditions is equal to the number of parameters of interest but also in the case in which the number of conditions is strictly larger than the number of parameters. We derive a necessary and sufficient condition of the validity of supernumerary restrictions which generalizes the familiar Sargan condition. Third, we provide new results on the asymptotics of analog estimates constructed from the identification results. When B is a strictly convex set, we also construct a test of the null hypothesis, β0 ε B, whose size is asymptotically correct and which relies on the minimization of the support function of the set B − {β0}. Results of some Monte Carlo experiments are presented.en_US
dc.language.isoengen_US
dc.publisherCentre for Microdata Methods and Practice Londonen_US
dc.relation.ispartofseriescemmap working paper CWP13/11en_US
dc.subject.ddc330en_US
dc.titleSet identified linear modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn657381098en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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