Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models

Le-Yu Chen and Sokbae (Simon) Lee

No CWP51/17, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper studies inference of preference parameters in semiparametric discrete choice models when these parameters are not point-identifi ed and the identifi ed set is characterized by a class of conditional moment inequalities. Exploring the semiparametric modeling restrictions, we show that the identi fied set can be equivalently formulated by moment inequalities conditional on only two continuous indexing variables. Such formulation holds regardless of the covariate dimension, thereby breaking the curse of dimensionality for nonparametric inference based on the underlying conditional moment inequalities. We further apply this dimension reducing characterization approach to the monotone single index model and to a variety of semiparametric models under which the sign of conditional expectation of a certain transformation of the outcome is the same as that of the indexing variable.

Keywords: partial identi fication; conditional moment inequalities; discrete choice; monotone single index model; curse of dimensionality (search for similar items in EconPapers)
JEL-codes: C14 C25 (search for similar items in EconPapers)
Date: 2017-11-22
New Economics Papers: this item is included in nep-dcm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.ifs.org.uk/uploads/CWP511717.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.ifs.org.uk/uploads/CWP511717.pdf [302 Found]--> https://ifs.org.uk/uploads/CWP511717.pdf)

Related works:
Journal Article: Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models (2019)
Working Paper: Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models (2017)
Working Paper: Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models (2015)
Working Paper: Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:51/17

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().