Fan, Yanqin and Park, Sang Soo (2010): Confidence sets for some partially identified parameters. Published in: Economics, Management, and Financial Market , Vol. 5, (2010): pp. 3787.

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Abstract
In this paper, we first revisit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under the same assumptions as in Stoye (2008). Like the confidence interval of Stoye (2008), our new confidence interval extends that of Imbens and Manski (2004) to allow for the lack of a superefficient estimator of the length of the identified interval. In addition, it shares the natural nesting property of the original confidence interval of Imbens and Manski (2004). A simulation study is conducted to examine the finite sample performance of our new confidence interval and that of Stoye (2008). Finally we extend our confidence interval for interval identified parameters to parameters defined by moment equalities/inequalities.
Item Type:  MPRA Paper 

Original Title:  Confidence sets for some partially identified parameters 
English Title:  Confidence sets for some partially identified parameters 
Language:  English 
Keywords:  Confidence sets; partial identification; moment inequalities 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C19  Other C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C21  CrossSectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C49  Other C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  37149 
Depositing User:  Sang Soo Park 
Date Deposited:  07. Mar 2012 12:53 
Last Modified:  15. Mar 2015 20:04 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/37149 