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Confi dence Intervals for Projections of Partially Identi fied Parameters

Hiroaki Kaido (), Francesca Molinari and Jörg Stoye

No wp2016-001, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: This paper proposes a bootstrap-based procedure to build con dence intervals for single components of a partially identi ed parameter vector, and for smooth functions of such components, in moment (in)equality models. The extreme points of our con dence interval are obtained by maximizing/minimizing the value of the component (or function) of interest subject to the sample analog of the moment (in)equality conditions properly relaxed. The novelty is that the amount of relaxation, or critical level, is computed so that the component (or function) of, instead of itself, is uniformly asymptotically cov- ered with prespeci ed probability. Calibration of the critical level is based on repeatedly checking feasibility of linear programming problems, rendering it computationally attrac- tive. Computation of the extreme points of the con dence interval is based on a novel application of the response surface method for global optimization, which may prove of independent interest also for applications of other methods of inference in the moment (in)equalities literature. The critical level is by construction smaller (in nite sample) than the one used if projecting con dence regions designed to cover the entire parameter vector. Hence, our con dence interval is weakly shorter than the projection of established con dence sets (Andrews and Soares, 2010), if one holds the choice of tuning parameters constant. We provide simple conditions under which the comparison is strict. Our inference method controls asymptotic coverage uniformly over a large class of data generating processes. Our assumptions and those used in the leading alternative approach (a pro ling based method) are not nested. We explain why we employ some restrictions that are not required by other methods and provide examples of models for which our method is uniformly valid but pro ling based methods are not.

Keywords: Partial identi cation; Inference on projections; Moment inequalities; Uniform inference (search for similar items in EconPapers)
Date: 2016-01-04
New Economics Papers: this item is included in nep-ecm
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Downloads: (external link)
http://people.bu.edu/hkaido/pdf/Projection.pdf

Related works:
Journal Article: Confidence Intervals for Projections of Partially Identified Parameters (2019) Downloads
Working Paper: Confidence Intervals for Projections of Partially Identified Parameters (2019) Downloads
Working Paper: Confi dence Intervals for Projections of Partially Identifi ed Parameters (2019) Downloads
Working Paper: Confidence intervals for projections of partially identified parameters (2017) Downloads
Working Paper: Confidence intervals for projections of partially identified parameters (2016) Downloads
Working Paper: Confidence Intervals for Projections of Partially Identified Parameters (2016) Downloads
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