Subvector inference for Varying Coefficient Models with Partial Identification

Shengjie Hong, Yu-Chin Hsu and Yuanyuan Wan

Working Papers from University of Toronto, Department of Economics

Abstract: This paper develops inference methods for a general class of varying coefficient models defined by a set of moment inequalities and/or equalities, where unknown functional parameters are not necessarily point-identified. We propose an inferential procedure for a subvector of the parameters and establish the asymptotic validity of the resulting confidence sets uniformly over a broad family of data-generating processes. We also propose a specification test for the varying coefficient models considered in this paper. Monte Carlo studies show that the proposed methods work well in finite samples.

Keywords: Varying coefficient; Moment inequalities; Partial-identification; Multiplierbootstrap (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 (search for similar items in EconPapers)
Pages: Unknown pages
Date: 2023-08-31
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:tor:tecipa:tecipa-756

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