Estimation and Confidence Regions for Parameter Sets in Econometric Models

By Victor Chernozhukov, Han Hong, Elie Tamer. 2007

695 citations recorded by the source corpus.

This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and equalities. Applications of this framework include the analysis of game-theoretic models, revealed preference restrictions, regressions with missing and corrupted data, auction models, structural quantile regressions, and asset pricing models. Copyright The Econometric Society 2007.

Subfields: Economics and Econometrics, Management Science and Operations Research, Marketing

View Paper: https://www.semanticscholar.org/paper/6760ef69bf9a9b244a6409a89998716e7620b24b

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Citations in the corpus

Copulas in Econometrics (2014, background): “…with only univariate samples from F and G. Inference on r, F D (d), and F À1 Z ðaÞ belongs to a recent, but fast-growing area in econometrics: inference for partially identified parameters pioneered by Imbens & Manski (2004) (see also Chernozhukov et al. 2007, Stoye 2009, Andrews & Soares 2010).”
Semiparametric Inference in Dynamic Binary Choice Models, Second Version (2014, methodology): “In principle, one can apply a criterion function approach of Chernozhukov et al. (2007) or related approaches to construct confidence sets for the identified sets of˜p and parameters of u (see Appendix E in Norets and Tang (2013) for a description of a criterion function).”
More on monotone instrumental variables (2009, neutral): “See Manski and Tamer (2002), Chernozhukov, Hong, and Tamer (2007) , and Rosen (2006).”
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection (2007, neutral): “…examples of such models are now available in the literature, e.g., see Manski and Tamer (2002), Imbens and Manski (2004), Ciliberto and Tamer (2003), Andrews, Berry, and Jia (2004), Pakes, Porter, Ishii, and Ho (2004), Moon and Schorfheide (2006), and Chernozhukov, Hong, and Tamer (2007) (CHT).”
Identification With Imperfect Instruments (2008, methodology): “(2005), Chernozhukov et al. (2007), and Andrews and Guggenberger (2009).”
Revisiting the synthetic control estimator (2016, background): “Based on the results in Chernozhukov et al. (2007), it is possible to consistently estimate this set.”
Discrete games with flexible information structures: an application to local grocery markets (2014, methodology): “This procedure is similar to the procedures of Chernozhukov et al. (2007) and Romano and Shaikh (2008) except in that I use the weighted bootstrap to determine ĉM (θ, 1−α).”
Inference on Directionally Differentiable Functions (2014, background): “Functionals such as (8) are also often employed for inference in moment inequality models; see Chernozhukov et al. (2007), Romano and Shaikh (2008), and Andrews and Soares (2010).”
Synthetic controls with imperfect pretreatment fit (2016, background): “Chernozhukov et al. (2018) suggest an alternative estimator and analyze its properties in a setting with both large J and T .”
Asymptotically exact inference in conditional moment inequality models (2011, background): “Papers in this literature include Andrews, Berry, and Jia (2004), Andrews and Jia (2008), Andrews and Guggenberger (2009), Andrews and Soares (2010), Chernozhukov, Hong, and Tamer (2007), Romano and Shaikh (2010), Romano and Shaikh (2008), Bugni (2010), Beresteanu and Molinari (2008), Moon and…”
Sensitivity Analysis in Semiparametric Likelihood Models (2011, background): “See Imbens and Manski (2004), Chernozhukov, Hong, and Tamer (2007), Romano and Shaikh (2008), Andrews and Soares (2010)2.”
On the Testability of Identification in Some Nonparametric Models With Endogeneity (2012, neutral): “http://www.econometricsociety.org/ Econometrica, Vol. 81, No. 6 (November, 2013), 2535–2559”
ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION (2011, background): “…Canay, and Guggenberger (2009) compare the robustness of various inference methods for models defined by moment inequality restrictions (see, e.g., Chernozhukov, Hong, and Tamer, 2007; Andrews and Guggenberger, 2009b; and Andrews and Soares, 2010, and references therein) when the inequality…”
Bayesian and Frequentist Inference in Partially Identified Models (2009, background): “Assumptions 1 and 2 cover models with iid observations as well as time series models for weakly dependent data without trends.”
Dynamic Discrete Choice Structural Models: A Survey (2010, neutral): “Manski (2004) presents an excellent review on the use of data on subjective expectations in microeconometric decision models (see also Delavande, 2006). In the context of dynamic discrete choice structural models, two examples are the study of teen fertility and unwanted births by Walker (2003), and”