Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
JoonHwan Cho and
Thomas M. Russell
Papers from arXiv.org
This paper considers uniformly valid inference for linear functionals and scalar subvectors of partially identified parameters defined by linear moment inequalities. Our proposed procedure amounts to bootstrapping the value functions of four carefully constructed "perturbed" linear programming problems, and does not require the researcher to grid over the parameter space. Our low-level conditions for uniform validity rely on a novel application of Sard's Theorem from differential topology, and may be of substantial separate interest. Our procedure is asymptotically conservative for the true partially identified parameter, but draws its appeal from the fact that it is valid under weak assumptions, it performs well in finite samples, and is computationally simple to implement.
Date: 2018-10, Revised 2020-12
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1810.03180 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1810.03180
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().