Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
Econometrics
2023-05-09 v9
Abstract
This paper proposes a new approach to obtain uniformly valid inference for linear functionals or scalar subvectors of a partially identified parameter defined by linear moment inequalities. The procedure amounts to bootstrapping the value functions of randomly perturbed linear programming problems, and does not require the researcher to grid over the parameter space. The low-level conditions for uniform validity rely on genericity results for linear programs. The unconventional perturbation approach produces a confidence set with a coverage probability of 1 over the identified set, but obtains exact coverage on an outer set, is valid under weak assumptions, and is computationally simple to implement.
Cite
@article{arxiv.1810.03180,
title = {Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments},
author = {JoonHwan Cho and Thomas M. Russell},
journal= {arXiv preprint arXiv:1810.03180},
year = {2023}
}