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Estimation and Confidence Regions for Parameter Sets in Econometric Models

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  • Victor Chernozhukov
  • Han Hong
  • Elie Tamer

Abstract

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.

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  • Victor Chernozhukov & Han Hong & Elie Tamer, 2007. "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, Econometric Society, vol. 75(5), pages 1243-1284, September.
    • Handle: RePEc:ecm:emetrp:v:75:y:2007:i:5:p:1243-1284
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    File URL: http://hdl.handle.net/10.1111/j.1468-0262.2007.00794.x
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