Improving confidence set estimation when parameters are weakly identified
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Peer-reviewed
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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
Journal Title
Statistics and Probability Letters
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Journal ISSN
0167-7152
1879-2103
1879-2103
Volume Title
118
Publisher
Elsevier BV
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Except where otherwised noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 International
Sponsorship
National Science Foundation of China (Grant ID: 71301026)