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Dilatation Bootstrap: a methodology for constructing confidence regions with partially identified models

Author

Listed:
  • Alfred Galichon

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

  • Marc Henry

    (CIRANO - Centre interuniversitaire de recherche en analyse des organisations - UQAM - Université du Québec à Montréal = University of Québec in Montréal, CIREQ - Centre interuniversitaire de recherche en économie quantitative)

Abstract

We propose a methodology for constructing confidence regions with partially identified models of general form. The region is obtained by inverting a test of internal consistency of the econometric structure. We develop a dilation bootstrap methodology to deal with sampling uncertainty without reference to the hypothesized economic structure. It requires bootstrapping the quantile process for univariate data and a novel generalization of the latter to higher dimensions. Once the dilation is chosen to control the confidence level, the unknown true distribution of the observed data can be replaced by the known empirical distribution and confidence regions can then be obtained as in Galichon and Henry (2011) and Beresteanu, Molchanov and Molinari (2011).

Suggested Citation

  • Alfred Galichon & Marc Henry, 2013. "Dilatation Bootstrap: a methodology for constructing confidence regions with partially identified models," Post-Print hal-03400046, HAL.
    • Handle: RePEc:hal:journl:hal-03400046
    DOI: 10.1016/j.jeconom.2013.07.001
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    Cited by:

    1. Magnac, Thierry, 2013. "Identification partielle : méthodes et conséquences pour les applications empiriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 233-258, Décembre.

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