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Jörg Stoye (Univ. Bonn)

Confidence Intervals for Projections of Partially Identified Parameters (with Hiroaki Kaido and Francesca Molinari)

Venue: HS 7 OMP1 (#01.303)

Monday, 19.06.2017

This paper proposes a bootstrap-based procedure to build confidence intervals for single components of a partially identified parameter vector, and for smooth functions of such components, in moment (in)equality models. The extreme points of our confidence interval are obtained by maximizing/minimizing the value of the component (or function) of interest subject to the sample analog of the moment (in)equality conditions properly relaxed. The novelty is that the amount of relaxation, or critical level, is computed so that the component (or function) of $\theta $, instead of $\theta $ itself, is uniformly asymptotically covered with prespecified probability.

Calibration of the critical level is based on repeatedly checking feasibility of linear programming problems, rendering it computationally attractive. Computation of the extreme points of the confidence interval is based on a novel application of the response surface method for global optimization, which may prove of independent interest also for applications of other methods of inference in the moment (in)equalities literature.

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