Improving confidence set estimation when parameters are weakly identified

Heather Battey, Qiang Feng and Richard J. Smith

Statistics & Probability Letters, 2016, vol. 118, issue C, 117-123

Abstract: We consider inference in weakly identified moment condition models when additional partially identifying moment inequality constraints are available. We detail the limiting distribution of the estimation criterion function and consequently propose a confidence set estimator for the true parameter.

Keywords: Weak instruments; Moment inequality conditions (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:118:y:2016:i:c:p:117-123

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DOI: 10.1016/j.spl.2016.06.015

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