A test of non-identifying restrictions and confidence regions for partially identified parameters

A-Tier
Journal: Journal of Econometrics
Year: 2009
Volume: 152
Issue: 2
Pages: 186-196

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and multiple equilibria. When the restrictions are parameterized, the test can be inverted to yield confidence regions for partially identified parameters, thereby complementing other proposals, primarily Chernozhukov et al. [Chernozhukov, V., Hong, H., Tamer, E., 2007. Estimation and confidence regions for parameter sets in econometric models. Econometrica 75, 1243-1285].

Technical Details

RePEc Handle
repec:eee:econom:v:152:y:2009:i:2:p:186-196
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25