Set inference in latent variables models

Marc Henry, Ismael Mourifié

Research output: Contribution to journalArticle

Abstract

We propose a methodology for constructing valid confidence regions in incomplete models with latent variables satisfying moment equality restrictions. These include moment equality and inequality models with latent variables. The confidence regions are obtained by inverting tests based on the characterization of the identified set derived in Ekeland et al. (2010). A valid bootstrap approximation of the distribution of the test statistic is derived under mild conditions and the confidence regions are shown to have correct asymptotic size.

Original languageEnglish (US)
Pages (from-to)S93-S105
JournalEconometrics Journal
Volume16
Issue number1
DOIs
StatePublished - Feb 1 2013

Fingerprint

Latent variable models
Inference
Confidence region
Latent variables
Equality
Bootstrap
Test statistic
Methodology
Approximation

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

Henry, Marc ; Mourifié, Ismael. / Set inference in latent variables models. In: Econometrics Journal. 2013 ; Vol. 16, No. 1. pp. S93-S105.
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Set inference in latent variables models. / Henry, Marc; Mourifié, Ismael.

In: Econometrics Journal, Vol. 16, No. 1, 01.02.2013, p. S93-S105.

Research output: Contribution to journalArticle

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