Improving confidence set estimation when parameters are weakly identified
| dc.contributor.author | Battey, Heather | en |
| dc.contributor.author | Feng, Qiang | en |
| dc.contributor.author | Smith, Richard | en |
| dc.date.accessioned | 2016-10-31T09:24:22Z | |
| dc.date.available | 2016-10-31T09:24:22Z | |
| dc.date.issued | 2016-06-29 | en |
| dc.identifier.issn | 0167-7152 | |
| dc.identifier.uri | https://www.repository.cam.ac.uk/handle/1810/260958 | |
| dc.description.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. | |
| dc.description.sponsorship | National Science Foundation of China (Grant ID: 71301026) | |
| dc.language | English | en |
| dc.language.iso | en | en |
| dc.publisher | Elsevier | |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | * |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | en |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | en |
| dc.subject | weak instruments | en |
| dc.subject | moment inequality conditions | en |
| dc.title | Improving confidence set estimation when parameters are weakly identified | en |
| dc.type | Article | |
| dc.description.version | This is the author accepted manuscript. The final version is available from Elsevier via http://dx.doi.org/10.1016/j.spl.2016.06.015 | en |
| prism.endingPage | 123 | |
| prism.publicationDate | 2016 | en |
| prism.publicationName | Statistics & Probability Letters | en |
| prism.startingPage | 117 | |
| prism.volume | 118 | en |
| dc.identifier.doi | 10.17863/CAM.6126 | |
| dcterms.dateAccepted | 2016-06-20 | en |
| rioxxterms.versionofrecord | 10.1016/j.spl.2016.06.015 | en |
| rioxxterms.version | AM | en |
| rioxxterms.licenseref.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | en |
| rioxxterms.licenseref.startdate | 2016-06-29 | en |
| rioxxterms.type | Journal Article/Review | en |
| rioxxterms.freetoread.startdate | 2017-06-29 |
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