Implementing intersection bounds in Stata

Victor Chernozhukov, Wooyoung Kim (), Sokbae (Simon) Lee and Adam Rosen
Additional contact information
Wooyoung Kim: University of Wisconsin-Madison

Stata Journal, 2015, vol. 15, issue 1, 21-44

Abstract: We present the clrbound, clr2bound, clr3bound, and clrtest commands for estimation and inference on intersection bounds as developed by Chernozhukov, Lee, and Rosen (2013, Econometrica 81: 667–737). The intersection bounds framework encompasses situations where a population parameter of interest is partially identified by a collection of consistently estimable upper and lower bounds. The identified set for the parameter is the intersection of regions defined by this collection of bounds. More generally, the methodology can be applied to settings where an estimable function of a vector-valued parameter is bounded from above and below, as is the case when the identified set is characterized by conditional moment inequalities. The commands clrbound, clr2bound, and clr3bound provide bound estimates that can be used directly for estimation or to construct asymptotically valid confidence sets. clrtest performs an intersection bound test of the hypothesis that a collection of lower intersection bounds is no greater than zero. The command clrbound provides bound estimates for one-sided lower or upper intersection bounds on a parameter, while clr2bound and clr3bound provide two-sided bound estimates using both lower and upper intersection bounds. clr2bound uses Bonferroni’s inequality to construct two-sided bounds that can be used to perform asymptotically valid inference on the identified set or the parameter of interest, whereas clr3bound provides a generally tighter confidence interval for the parameter by inverting the hypothesis test performed by clrtest. More broadly, inversion of this test can also be used to construct confidence sets based on conditional moment inequalities as described in Chernozhukov, Lee, and Rosen (2013). The commands include parametric, series, and local linear estimation procedures. Copyright 2015 by StataCorp LP.

Keywords: clrbound; clr2bound; clr3bound; clrtest; intersection bounds; bound analysis; conditional moments; partial identification; infinite dimensional constraints; adaptive moment selection (search for similar items in EconPapers)
Date: 2015
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj15-1/st0369/
References: Add references at CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0369 link to article purchase

Related works:
Working Paper: Implementing intersection bounds in Stata (2014)
Working Paper: Implementing intersection bounds in Stata (2014)
Working Paper: Implementing intersection bounds in Stata (2013)
Working Paper: Implementing intersection bounds in Stata (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:15:y:2015:i:1:p:21-44

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().