Microeconometrics with partial identification

Francesca Molinari

Chapter Chapter 5 in Handbook of Econometrics, 2020, vol. 7, pp 355-486 from Elsevier

Abstract: This chapter reviews the microeconometrics literature on partial identification, focusing on the developments of the last thirty years. The topics presented illustrate that the available data combined with credible maintained assumptions may yield much information about a parameter of interest, even if they do not reveal it exactly. Special attention is devoted to discussing the challenges associated with, and some of the solutions put forward to, (1) obtain a tractable characterization of the values for the parameters of interest which are observationally equivalent, given the available data and maintained assumptions; (2) estimate this set of values; (3) conduct test of hypotheses and make confidence statements. The chapter reviews advances in partial identification analysis both as applied to learning (functionals of) probability distributions that are well-defined in the absence of models, as well as to learning parameters that are well-defined only in the context of particular models. A simple organizing principle is highlighted: the source of the identification problem can often be traced to a collection of random variables that are consistent with the available data and maintained assumptions. This collection may be part of the observed data or be a model implication. In either case, it can be formalized as a random set. Random set theory is then used as a mathematical framework to unify a number of special results and produce a general methodology to carry out partial identification analysis.

Keywords: Partial identification; Random sets; Incomplete data and models; Discrete choice models; Auction models; Moment inequalities; Support function approach; Criterion function approach; Model misspecification; Computational methods (search for similar items in EconPapers)
JEL-codes: C39 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (18)

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Related works:
Working Paper: Microeconometrics with Partial Identification (2020)
Working Paper: Microeconometrics with Partial Identi?cation (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecochp:7a-355

DOI: 10.1016/bs.hoe.2020.05.002

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