SIMPLE TWO-STAGE INFERENCE FOR A CLASS OF PARTIALLY IDENTIFIED MODELS
Xiaoxia Shi () and
Matthew Shum ()
Econometric Theory, 2015, vol. 31, issue 3, 493-520
This paper proposes a new two-stage estimation and inference procedure for a class of partially identified models. The procedure can be considered an extension of classical minimum distance estimation procedures to accommodate inequality constraints and partial identification. It involves no tuning parameter, is nonconservative, and is conceptually and computationally simple. The class of models includes models of interest to applied researchers, including the static entry game, a voting game with communication, and a discrete mixture model. Besides, a technical contribution is an implicit correspondence lemma which generalizes the implicit function theorem to multivalued implicit maps.
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