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

Alfred Galichon, Marc Henry

Research output: Contribution to journalArticle

31 Scopus citations

Abstract

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 et al. [Chernozhukov, V., Hong, H., Tamer, E., 2007. Estimation and confidence regions for parameter sets in econometric models. Econometrica 75, 1243-1285].

Original languageEnglish (US)
Pages (from-to)186-196
Number of pages11
JournalJournal of Econometrics
Volume152
Issue number2
DOIs
StatePublished - Oct 2009

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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