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Simple Two-Stage Inference For A Class Of Partially Identified Models

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  • Shi, Xiaoxia
  • Shum, Matthew

Abstract

This paper proposes a new two-stage estimation and inference procedure for a class of partially identified models. The procedure can be considered an extension of classical minimum distance estimation procedures to accommodate inequality constraints and partial identification. It involves no tuning parameter, is nonconservative, and is conceptually and computationally simple. The class of models includes models of interest to applied researchers, including the static entry game, a voting game with communication, and a discrete mixture model. Besides, a technical contribution is an implicit correspondence lemma which generalizes the implicit function theorem to multivalued implicit maps.

Suggested Citation

  • Shi, Xiaoxia & Shum, Matthew, 2015. "Simple Two-Stage Inference For A Class Of Partially Identified Models," Econometric Theory, Cambridge University Press, vol. 31(3), pages 493-520, June.
    • Handle: RePEc:cup:etheor:v:31:y:2015:i:03:p:493-520_00
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    Cited by:

    1. Aradillas-López, Andrés & Rosen, Adam M., 2022. "Inference in ordered response games with complete information," Journal of Econometrics, Elsevier, vol. 226(2), pages 451-476.
    2. Ismael Mourifié, 2019. "A marriage matching function with flexible spillover and substitution patterns," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 67(2), pages 421-461, March.
    3. Brendan Kline & Elie Tamer, 2016. "Bayesian inference in a class of partially identified models," Quantitative Economics, Econometric Society, vol. 7(2), pages 329-366, July.
    4. Chenyu Yang, 2017. "Could Vertical Integration Increase Innovation?," 2017 Meeting Papers 908, Society for Economic Dynamics.
    5. Kédagni, Désiré, 2023. "Identifying treatment effects in the presence of confounded types," Journal of Econometrics, Elsevier, vol. 234(2), pages 479-511.
    6. Hsieh, Yu-Wei & Shi, Xiaoxia & Shum, Matthew, 2022. "Inference on estimators defined by mathematical programming," Journal of Econometrics, Elsevier, vol. 226(2), pages 248-268.
    7. Gregory Cox & Xiaoxia Shi, 2023. "Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(1), pages 201-228.
    8. JoonHwan Cho & Thomas M. Russell, 2018. "Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments," Papers 1810.03180, arXiv.org, revised May 2023.
    9. Semenova, Vira, 2023. "Debiased machine learning of set-identified linear models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1725-1746.

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