Set identification, moment restrictions, and inference

Christian Bontemps and Thierry Magnac

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Abstract: For the past 10 years, the topic of set identification has been much studied in the econometric literature. Classical inference methods have been generalized to the case in which moment inequalities and equalities define a set instead of a point. We review several instances of partial identification by focusing on examples in which the underlying economic restrictions are expressed as linear moments. This setting illustrates the fact that convex analysis helps not only for characterizing the identified set but also for inference. From this perspective, we review inference methods using convex analysis or inversion of tests and detail how geometric characterizations can be useful.

Keywords: Set identification; Moment inequality; Convex set; Support function (search for similar items in EconPapers)
Date: 2017-04-01
Note: View the original document on HAL open archive server: https://enac.hal.science/hal-01575813v2
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Citations: View citations in EconPapers (13)

Published in Annual Review of Economics, 2017, 9, pp.103-129. ⟨10.1146/annurev-economics-063016-103658⟩

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Related works:
Journal Article: Set Identification, Moment Restrictions, and Inference (2017)
Working Paper: Set Identification, Moment Restrictions and Inference (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01575813

DOI: 10.1146/annurev-economics-063016-103658

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