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

Alfred Galichon, Marc Henry

    Research output: Contribution to journalArticle

    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

    Keywords

    • Mass transportation
    • Partial identification
    • Specification test

    ASJC Scopus subject areas

    • Economics and Econometrics

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