MARC record from Internet Archive

LEADER: 03484cam 2200397Ia 4500
001 001410153
004 001410153
005 20070615075032.0
008 070403e20060622mau bt 000 0 eng d
035 $a(OCoLC)122271482
040 $aMYG$cMYG$dMYG
090 $aHB31$b.M415 no.06-18B
100 1 $aChernozhukov, Victor.
245 10 $aEstimation and confidence regions for parameter sets in econometric models /$cVictor Chernozhukov, Han Hong [and] Elie Tamer.
246 33 $aInference on parameter sets in economic modes
250 $aRev.
260 $aCambridge, MA :$bMassachusetts Institute of Technology, Dept. of Economics,$c[2006]
300 $a47 p. ;$c28 cm.
490 1 $aWorking paper series / Massachusetts Institute of Technology, Dept. of Economics ;$vworking paper 06-18B
500 $a"Earlier version: June 16, 2004; Revision: June 22, 2006.
500 $a"Previously called "Inference on parameter sets in economic modes," [SSRN] id# 909625."
504 $aIncludes bibliographical references (p. 39-42).
520 3 $aThe paper develops estimation and inference methods for econometric models with partial identification, focusing on models defined by moment inequalities and equalities. Main applications of this framework include analysis of game-theoretic models, revealed preference, regression with missing and mismeasured data, auction models, bounds in structural quantile models, bounds in asset pricing, among many others. Specifically, this paper provides estimators and confidence regions for minima of an econometric criterion function Q([Theta]). In applications, Q([Theta]) embodies testable restrictions on economic models. A parameter [Theta] that describes an economic model passes these restrictions if Q([Theta]) attains the minimum value normalized to be zero. The interest therefore focuses on the set of parameters [Theta]I that minimizes Qn([Theta]), called the identified set. This paper uses the inversion of the sample analog Q([Theta]) of the population criterion Q([Theta]) to construct the estimators and confidence regions for [Theta]I. We develop consistency, rates of convergence, and inference results for these estimators and regions. The results are shown to hold under general yet simple conditions, and practical procedures are provided to implement the approach.
520 3 $a(cont.) In order to derive these results, the paper also develops methods for analyzing the asymptotics of sample criterion functions under set identification. Keywords: Set estimator, contour sets, moment inequalities, moment equalities. JEL Classifications: C13, C14, C21, C41, C51, C53.
530 $aAbstract in HTML and working paper for download in PDF available via World Wide Web at the Social Science Research Network.
700 1 $aHong, Han.
700 1 $aTamer, Elie.
710 2 $aMassachusetts Institute of Technology.$bDept. of Economics.
830 0 $aWorking paper (Massachusetts Institute of Technology. Dept. of Economics) ;$vno. 06-18B.
856 41 $uhttp://papers.ssrn.com/sol3/papers.cfm?abstract%5Fid=963451$zTo download paper, go to the bottom of the abstract page choose a download option.
852 0 $bARC$cNOLN2$hHB31.M415 no.06-18B$4Institute Archives$5Noncirculating Collection 2
852 0 $bDEW$cSTACK$hHB31.M415 no.06-18B$4Dewey Library$5Stacks
852 8 $bNET$zInternet Access$h**See URL(s)$4Internet Resource
049 $aMYGG
910 $arch070614 -- RECAT$irch$d070614
994 $a02$bMYG