Confidence Sets for Partially Identified Parameters that Satisfy a Finite Number of Moment Inequalities

By A. Rosen. 2006

242 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/abad53f64dd2b235b97073a7c74bcbcdb45b224f

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Citations in the corpus

Inference on Causal and Structural Parameters using Many Moment Inequalities (2013, background): “This statistic in the context of testing moment inequalities was first studied by Rosen (2008) when the number of moment inequalities p is fixed; see also Wolak (1991) for the analysis of this statistic in a different context.”
TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES (2013, methodology): “If the underlying function is sharply peaked, as those in the reported simulations of Chernozhukov, Lee, and Rosen (2013), CLR performs better than AS.”
Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure (2008, unknown): “Ω Such critical values have been considered in the literature on multivariate one-sided tests, see Silvapulle and Sen (2005) for references.”
Bayesian inference in a class of partially identified models (2016, unknown): “The frequentist approach (e.g., Imbens and Manski (2004), Rosen (2008), Andrews and Guggenberger (2009), Stoye (2009), Andrews and Soares (2010), Bugni (2010), Canay (2010), and Andrews and Barwick (2012)) generally requires working with discontinuous-in-parameters asymptotic (repeated sampling)…”
Impossibility Results for Nondifferentiable Functionals (2012, result): “sampling from a smooth parametric distribution, although the results also apply to other settings provided the local asymptotic normality (LAN) condition below holds (see van der Vaart (1998), Lemma 7.”
Set identification via quantile restrictions in short panels (2009, methodology): “…the number of inequality restrictions that define the identified set are finite, and potentially applicable methods include those of Andrews and Soares (2007), Beresteanu and Molinari (2008), Bugni (2007), Canay (2007), CHT, Galichon and Henry (2009), Romano and Shaikh (2008), and Rosen (2008).”
More on monotone instrumental variables (2009, unknown): “Moreover, the methods for forming asymptotically valid confidence sets for partially identified parameters developed by Horowitz and Manski (2000), Imbens and Manski (2004), Chernozhukov, Hong, and Tamer (2007), Beresteanu and Molinari (2008), Rosen (2006), and others appear not to apply.”
PARTIAL IDENTIFICATION OF THE DISTRIBUTION OF TREATMENT EFFECTS AND ITS CONFIDENCE SETS (2009, background): “…Canay (2007), Chernozhukov, Hong, and Tamer (2007), Galichon and Henry (2006), Horowitz and Manski (2000), Romano and Shaikh (2008), Stoye (2008), Rosen (2008), Soares (2006), Beresteanu and Molinari (2006), Andrews and Guggenberger (2007), Andrews and Soares (2007), Fan and Park (2007b), and…”
A Test of Non-Identifying Restrictions and Confidence Regions for Partially Identified Parameters (2009, unknown): “…boundary problems, which appear also in the estimation of models defined by moment inequalities (see Imbens and Manski (2004) and the link drawn by Rosen (2006) with the literature on constrained statistical testing, surveyed in Sen and Silvapulle (2004)) and stochastic dominance testing (see…”
Inferring Optimal Peer Assignment From Experimental Data (2009, background): “In econometrics, see Wolak (1987) and Rosen (2006).”
Set Identification in Models with Multiple Equilibria (2011, unknown): “Related work on inference in partially identified models include Manski and Tamer, 2002, Imbens and Manski, 2004, Beresteanu and Molinari, 2007, Romano and Shaikh, 2006, Rosen, 2006, Andrews and Soares, 2007, Canay, 2007 among many others.”
Inference Based on Conditional Moment Inequalities (2013, methodology): “…[2 (1)] 1 for x > 1:5: For the kinked bound DGP, (x) = 2(x ^ 1); (x) = x; L (x) = x ^ 1; (x) = 2(x ^ 1) + x 1 1 [2 (x ^ 1)] 1 for x 1:5; and (x) = 2 (x ^ 1) + x 1 [2 (x ^ 1)] 1 for x > 1:5: The kinked and L functions are the same as in the simulation example in Chernozhukov, Lee, and Rosen (2008).”
Inference for identifiable parameters in partially identified econometric models (2006, background): “Andrews et al. (2004), Pakes et al. (2005) and Rosen (2007) consider other economic applications of systems of moment inequalities, but develop independent methods of inference.”