Inference in Incomplete Models

By Alfred Galichon, Marc Henry. 2006

54 citations recorded by the source corpus.

We provide a test for the speciflcation of a structural model without identifying assumptions. We show the equivalence of several natural formulations of correct speciflcation, which we take as our null hypothesis. From a natural empirical version of the latter, we derive a Kolmogorov-Smirnov statistic for Choquet capacity functionals, which we use to construct our test. We derive the limiting distribution of our test statistic under the null, and show that our test is consistent against certain classes of alternatives. When the model is given in parametric form, the test can be inverted to yield confldence regions for the identifled parameter set. The approach can be applied to the estimation of models with sample selection, censored observables and to games with multiple equilibria.

Subfields: Economics and Econometrics, General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4178fb8cdb8889c4b69eca41aa0071e7b65efc47

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In General Decision Sciences

In Management Science and Operations Research

Citations in the corpus

Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data (2008, background): “A very general setting of partial identi cation is also provided by Galichon and Henry (2006).”
A Test of Non-Identifying Restrictions and Confidence Regions for Partially Identified Parameters (2009, background): “As shown in Galichon and Henry (2006b), the inequality needs to be checked only on sets of the form A = (−∞, y] and A = (y, +∞), for y ∈ R, so that a necessary and sufficient condition for internal consistency of the structure is that Fν(s(y)) ≤ F (y) ≤ Fν(s(y)), where F is the cumulative…”
VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES (2009, methodology): “Other papers in the literature that consider inference with moment inequalities include: CHT, Andrews, Berry, and Jia (2004, 2007), Pakes, Porter, Ho, and Ishii (2004), Moon and Schorfheide (2004), Rosen (2005), Beresteanu and Molinari (2006), Galichon and Henry (2006) , Bugni (2007), and Canay (20”
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection (2007, unknown): “Other papers in the literature that consider inference with moment inequalities include: CHT, Andrews, Berry, and Jia (2004), Pakes, Porter, Ho, and Ishii (2004), AG4, Romano and Shaikh (2005a,b), Rosen (2005), Beresteanu and Molinari (2006), Galichon and Henry (2006) , Moon and Schorfheide (2006),”
Confidence Sets for Partially Identified Parameters that Satisfy a Finite Number of Moment Inequalities (2006, background): “EP Recent research in this area includes Andrews, Berry, and Jia (2004), Pakes, Porter, Ho, and Ishii (2004), Galichon and Henry (2006a), Galichon and Henry (2006b), Romano and Shaikh (2006), Andrews and Guggenberger (2007), Andrews and Soares (2007), Bontemps, Magnac, and Maurin (2007), Bugni…”
Asymptotic Properties for a Class of Partially Identified Models (2006, methodology): “Galichon & Henry (2006) propose a specification test for partially identified structural models based on an extension of the Kolmogorov-Smirnov test for Choquet capacities.”
Partial identification using random set theory (2010, methodology): “Galichon and Henry (2006) use it to define a correctly specified partially identified structural model, and derive a Kolmogorov-Smirnov test for Choquet capacities.”
Testing Local Average Treatment Effect Assumptions (2017, background): “One solution is to follow the idea discussed in Galichon and Henry (2006, 2011) and Chesher, Rosen, and Smolinski (2013) to find a low (or the lowest) cardinality collection of sets that are sufficient to characterize all the restrictions imposed by inequalities (1) and (2).”
Set Identification in Models with Multiple Equilibria (2011, unknown): “This paper is a substantially revised version of the working paper Galichon and Henry, 2006b, which was widely circulated since May 2006.”