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Bontemps, Christian
and Magnac, Thierry
(2017)
Set Identification, Moment Restrictions and Inference.
TSE Working Paper, n. 16-752, Toulouse
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Abstract
For the last ten years, the topic of set identification has been much studied in the econometric literature. Classical inference methods have been generalized to the case in which moment inequalities and equalities define a set instead of a point. We review several instances of partial identification by focusing on examples in which the underlying economic restrictions are expressed as linear moments. This setting illustrates the fact that convex analysis helps not only in characterizing the identified set but also for inference. In this perspective, we review inference methods using convex analysis or inversion of tests and detail how geometric characterizations can be useful.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | January 2017 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | set identification, moment inequality, convex set, support function |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 27 Jan 2017 13:59 |
| Last Modified: | 02 Apr 2021 15:54 |
| OAI Identifier: | oai:tse-fr.eu:31337 |
| URI: | https://publications.ut-capitole.fr/id/eprint/22721 |
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