Set inference in latent variables models

Marc Henry, Ismael Mourifié

Research output: Contribution to journalArticlepeer-review

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 2013

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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