TY - JOUR
T1 - A test of non-identifying restrictions and confidence regions for partially identified parameters
AU - Galichon, Alfred
AU - Henry, Marc
PY - 2009/10
Y1 - 2009/10
N2 - 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].
AB - 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].
KW - Mass transportation
KW - Partial identification
KW - Specification test
UR - http://www.scopus.com/inward/record.url?scp=68949209196&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=68949209196&partnerID=8YFLogxK
U2 - 10.1016/j.jeconom.2009.01.010
DO - 10.1016/j.jeconom.2009.01.010
M3 - Article
AN - SCOPUS:68949209196
SN - 0304-4076
VL - 152
SP - 186
EP - 196
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -