Improving confidence set estimation when parameters are weakly identified

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Authors
Battey, Heather
Feng, Qiang
Smith, Richard
Publication Date
2016-06-29
Journal Title
Statistics & Probability Letters
ISSN
0167-7152
Publisher
Elsevier
Volume
118
Pages
117-123
Language
English
Type
Article
This Version
AM
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Citation
Battey, H., Feng, Q., & Smith, R. (2016). Improving confidence set estimation when parameters are weakly identified. Statistics & Probability Letters, 118 117-123. https://doi.org/10.1016/j.spl.2016.06.015
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.
Keywords
weak instruments, moment inequality conditions
Sponsorship
National Science Foundation of China (Grant ID: 71301026)
Identifiers
External DOI: https://doi.org/10.1016/j.spl.2016.06.015
This record's URL: https://www.repository.cam.ac.uk/handle/1810/260958

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Attribution-NonCommercial-NoDerivatives 4.0 International, Attribution-NonCommercial-NoDerivatives 4.0 International
Licence URL: http://creativecommons.org/licenses/by-nc-nd/4.0/http://creativecommons.org/licenses/by-nc-nd/4.0/


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Attribution-NonCommercial-NoDerivatives 4.0 International
Except where otherwise noted, this item's licence is described as Attribution-NonCommercial-NoDerivatives 4.0 International