Set Inference in Latent Variables Models

Ismael Mourifié () and Marc Henry

No CIRJE-F-820, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We propose a methodology for constructing valid confidence regions in incomplete models with latent variables satisfying moment equality restrictions. These include moment equality and inequality models with latent variables. The confidence regions are obtained by inverting tests based on the characterization of the identified set derived in Ekeland, Galichon, and Henry (2010). A valid boot- strap approximation of the distribution of the test statistic is derived under mild conditions and the confidence regions are shown to have correct asymptotic size.

Pages: 18 pages
Date: 2011-10
New Economics Papers: this item is included in nep-ecm
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Journal Article: Set inference in latent variables models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2011cf820

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