Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79358
Authors: 
Rosen, Adam M.
Year of Publication: 
2006
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP25/06
Abstract: 
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.
Subjects: 
Partial identification , Inference , Moment inequalities
JEL: 
C3
C12
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
389.87 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.