Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model

Heng Chen, Yanqin Fan and Ruixuan Liu

Journal of Econometrics, 2016, vol. 195, issue 2, 255-270

Abstract: We propose estimators of sharp bounds on the correlation coefficient between potential outcomes in the Gaussian switching regime model and develop an asymptotically uniformly valid and non-conservative confidence set for the true correlation coefficient. A boundary-interior-category selection procedure is proposed to deal with discontinuity of the pointwise asymptotic distribution of estimators of the sharp bounds. Our confidence set is easy to implement: it takes the form of a closed interval and its critical values have closed-form expressions. Simulation study reveals the better finite sample performance of our confidence set than the naive confidence set ignoring the discontinuity issue.

Keywords: Boundary; Confidence set; Constrained estimation; Interior; Partial identification (search for similar items in EconPapers)
JEL-codes: C14 C31 C35 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:195:y:2016:i:2:p:255-270

DOI: 10.1016/j.jeconom.2016.09.003

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