Sensitivity Analysis in Semiparametric Likelihood Models

Xiaohong Chen (), Elie Tamer and Alexander Torgovitsky
Additional contact information
Elie Tamer: Dept. of Economics, Northwestern University

No 1836, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We provide methods for inference on a finite dimensional parameter of interest, theta in Re^{d_theta}, in a semiparametric probability model when an infinite dimensional nuisance parameter, g, is present. We depart from the semiparametric literature in that we do not require that the pair (theta, g) is point identified and so we construct confidence regions for theta that are robust to non-point identification. This allows practitioners to examine the sensitivity of their estimates of theta to specification of g in a likelihood setup. To construct these confidence regions for theta, we invert a profiled sieve likelihood ratio (LR) statistic. We derive the asymptotic null distribution of this profiled sieve LR, which is nonstandard when theta is not point identified (but is chi^2 distributed under point identification). We show that a simple weighted bootstrap procedure consistently estimates this complicated distribution's quantiles. Monte Carlo studies of a semiparametric dynamic binary response panel data model indicate that our weighted bootstrap procedures performs adequately in finite samples. We provide three empirical illustrations to contrast our procedure to the ones obtained using standard (less robust) methods.

Keywords: Semiparametric models; Partial identification; Irregular functionals; Sieve likelihood ratio; Weighted bootstrap (search for similar items in EconPapers)
Pages: 58 pages
Date: 2011-11
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (50)

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d18/d1836.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1836

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().