A dual approach to inference for partially identified econometric models

This paper considers inference for the set ΘI of parameter values that minimize a criterion function. Chernozhukov et al. (2007) (CHT) develop a general theory of estimation and inference using the level-set of a criterion function. We establish a dual relationship between the level-set estimator an...

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Veröffentlicht in:	Journal of econometrics 2016-05, Vol.192 (1), p.269-290
1. Verfasser:	Kaido, Hiroaki
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Criterion function Econometrics Estimating techniques Mathematical functions Mathematical models Partial identification Set theory Studies Support function
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container_title	Journal of econometrics
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creator	Kaido, Hiroaki
description	This paper considers inference for the set ΘI of parameter values that minimize a criterion function. Chernozhukov et al. (2007) (CHT) develop a general theory of estimation and inference using the level-set of a criterion function. We establish a dual relationship between the level-set estimator and its support function and show that the properly normalized support function provides alternative Wald-type inference methods. These methods can be used to obtain confidence sets for ΘI and points inside it. For models with finitely many moment inequalities, we show that our Wald-type statistic is asymptotically equivalent to CHT’s statistic under regularity conditions.
doi_str_mv	10.1016/j.jeconom.2015.12.017
format	Article
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(2007) (CHT) develop a general theory of estimation and inference using the level-set of a criterion function. We establish a dual relationship between the level-set estimator and its support function and show that the properly normalized support function provides alternative Wald-type inference methods. These methods can be used to obtain confidence sets for ΘI and points inside it. 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subjects	Asymptotic methods Criterion function Econometrics Estimating techniques Mathematical functions Mathematical models Partial identification Set theory Studies Support function
title	A dual approach to inference for partially identified econometric models
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