A dual approach to inference for partially identified econometric models

A-Tier
Journal: Journal of Econometrics
Year: 2016
Volume: 192
Issue: 1
Pages: 269-290

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

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

Abstract

This paper considers inference for the set ΘI of parameter values that minimize a criterion function. Chernozhukov et al. (2007) (CHT) develop a general theory of estimation and inference using the level-set of a criterion function. We establish a dual relationship between the level-set estimator and its support function and show that the properly normalized support function provides alternative Wald-type inference methods. These methods can be used to obtain confidence sets for ΘI and points inside it. For models with finitely many moment inequalities, we show that our Wald-type statistic is asymptotically equivalent to CHT’s statistic under regularity conditions.

Technical Details

RePEc Handle
repec:eee:econom:v:192:y:2016:i:1:p:269-290
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25