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Bontemps, Christian
and Magnac, Thierry
(2017)
Set Identification, Moment Restrictions and Inference.
Annual Review of Economics, vol. 9.
pp. 103-129.
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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: | Article |
|---|---|
| Language: | English |
| Date: | August 2017 |
| Refereed: | Yes |
| Uncontrolled Keywords: | set identification, moment inequality, convex set, support function |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 16 Mar 2017 08:37 |
| Last Modified: | 22 Feb 2024 10:19 |
| OAI Identifier: | oai:tse-fr.eu:31528 |
| URI: | https://publications.ut-capitole.fr/id/eprint/23195 |
Available Versions of this Item
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Set Identification, Moment Restrictions and Inference. (deposited 27 Jan 2017 13:59)
- Set Identification, Moment Restrictions and Inference. (deposited 16 Mar 2017 08:37) [Currently Displayed]
