A dual approach to inference for partially identified econometric models

Hiroaki Kaido

Journal of Econometrics, 2016, vol. 192, issue 1, 269-290

Abstract: This paper considers inference for the set ΘI of parameter values that minimize a criterion function. Chernozhukov et al. (2007) (CHT) develop a general theory of estimation and inference using the level-set of a criterion function. We establish a dual relationship between the level-set estimator and its support function and show that the properly normalized support function provides alternative Wald-type inference methods. These methods can be used to obtain confidence sets for ΘI and points inside it. For models with finitely many moment inequalities, we show that our Wald-type statistic is asymptotically equivalent to CHT’s statistic under regularity conditions.

Keywords: Partial identification; Criterion function; Support function (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:192:y:2016:i:1:p:269-290

DOI: 10.1016/j.jeconom.2015.12.017

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