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A test of non-identifying restrictions and confidence regions for partially identified parameters

 

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Type:   Article
 
Titre:   A test of non-identifying restrictions and confidence regions for partially identified parameters
 
Auteur(s):   Galichon, Alfred (1977-...) - Department of Economics, Ecole Polytechnique (Auteur)
Henry, Marc - Départment de sciences économiques (Auteur)
 
In:   Journal of Econometrics
 
Date de publication:   2009-10
 
Éditeur:   PAYS-BAS  :  Elsevier
 
Volume:   152
 
Numéro:   2
 
Pages:   186-196  p.
 
ISSN:   03044076
 
Mots-clés:   [fr] Partial identification; Mass transportation; Specification test
 
JEL:   C10,  C12,  C13,  C14,  C52,  C61
 
Résumé:   [en] We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and multiple equilibria. When the restrictions are parameterized, the test can be inverted to yield confidence regions for partially identified parameters, thereby complementing other proposals, primarily Chernozhukov, Hong, and Tamer (2007).
 
 

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