Improving confidence set estimation when parameters are weakly identified
Accepted version
Peer-reviewed
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Repository DOI
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Authors
Battey, Heather
Feng, Qiang
Smith, Richard J
Abstract
We consider inference in weakly identified moment condition models when additional partially identifying moment inequality constraints are available. We detail the limiting distribution of the estimation criterion function and consequently propose a confidence set estimator for the true parameter.
Description
Keywords
weak instruments, moment inequality conditions
Journal Title
Statistics & Probability Letters
Conference Name
Journal ISSN
0167-7152
Volume Title
118
Publisher
Elsevier BV
Publisher DOI
Sponsorship
National Science Foundation of China (Grant ID: 71301026)