A Note on Regressions with Interval Data on a Regressor

Daniel Cerquera, Francois Laisney and Hannes Ullrich

No 1419, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we present two extensions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The modified minimum distance (MMD) estimates the true identified set and the modified method of moments (MMM) a superset. Our first contribution is to characterize the true identified set and the superset. Second, we complete and extend the Monte Carlo study of Manski and Tamer (2002). We present benchmark results using the exact functional form for the expectation of the dependent variable conditional on observables to compare with results using its nonparametric estimate, and illustrate the superiority of MMD over MMM.

Keywords: Partial identification; true identified set; superset; MMD; MMM (search for similar items in EconPapers)
JEL-codes: C01 C13 C40 (search for similar items in EconPapers)
Pages: 29 p.
Date: 2014
New Economics Papers: this item is included in nep-ecm
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