Point Decisions for Interval-Identified Parameters

Kyungchul Song ()
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Kyungchul Song: Department of Economics, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: This paper focuses on a situation where the decision-maker prefers to make a point-decision when the object of interest is interval-identified. Such a situation frequently arises when the interval-identified parameter is closely related to an optimal policy decision. To obtain a reasonable decision, this paper slices asymptotic normal experiments into subclasses corresponding to localized interval lengths, and finds a local asymptotic minimax decision for each subclass. Then, this paper suggests a decision that is based on the subclass minimax decisions, and explains the sense in which the decision is reasonable. One remarkable aspect of this solution is that the optimality of the solution remains intact even when the order of the interval bounds is misspecified. A small sample simulation study illustrates the solution’s usefulness.

Keywords: Partial Identification; Inequality Restrictions; Local Asymptotic Minimax Estimation; Semiparametric Efficiency (search for similar items in EconPapers)
JEL-codes: C01 C13 C14 C44 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2009-09-08
New Economics Papers: this item is included in nep-ecm and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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