A two-stage procedure for partially identified models

Hiroaki Kaido and Halbert White

Journal of Econometrics, 2014, vol. 182, issue 1, 5-13

Abstract: This paper studies a two-stage procedure for estimating partially identified models, based on Chernozhukov, Hong, and Tamer’s (2007) theory of set estimation and inference. We consider the case where a sub-vector of parameters or their identified set can be estimated separately from the rest, possibly subject to a priori restrictions. Our procedure constructs the second-stage set estimator and confidence set by taking appropriate level sets of a criterion function, using a first-stage estimator to impose restrictions on the parameter of interest. We give conditions under which the two-stage set estimator is a set-valued random element that is measurable in an appropriate sense. We also establish the consistency of the two-stage set estimator.

Keywords: Partial identification; Set estimation; Two-stage estimation; Effros-measurability (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:182:y:2014:i:1:p:5-13

DOI: 10.1016/j.jeconom.2014.04.004

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