Search Results - subject:"Set inference"

Inference on optimal treatment assignments

Armstrong, Timothy B.; Shen, Shu - In: The Japanese economic review : the journal of the … 74 (2023) 4, pp. 471-500

Persistent link: https://www.econbiz.de/10014515905

Equilibrium multiplicity in dynamic games : testing and estimation

Otsu, Taisuke; Pesendorfer, Martin - In: The econometrics journal 26 (2023) 1, pp. C26-C42

Persistent link: https://www.econbiz.de/10013543266

Identification and inference in first-price auctions with risk averse bidders and selective entry

Chen, Xiaohong; Gentry, Matthew; Li, Tong; Lu, Jingfeng - 2020

Persistent link: https://www.econbiz.de/10012322359

Asymptotics for maximum score method under general conditions

Otsu, Taisuke; Seo, Myung Hwan - Suntory and Toyota International Centres for Economics … - 2014

Abstract. Since Manski's (1975) seminal work, the maximum score method for discrete choice models has been applied to various econometric problems. Kim and Pollard (1990) established the cube root asymptotics for the maximum score estimator. Since then, however, econometricians posed several...

Persistent link: https://www.econbiz.de/10010888648

Multiscale Adaptive Inference on Conditional Moment Inequalities

Armstrong, Timothy B.; Chan, Hock Peng - Cowles Foundation for Research in Economics, Yale University - 2013

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula, and to prove the asymptotic validity of a...

Persistent link: https://www.econbiz.de/10010939337

Multiscale Adaptive Inference on Conditional Moment Inequalities

Armstrong, Timothy B.; Chan, Hock Peng - Cowles Foundation for Research in Economics, Yale University - 2013

Persistent link: https://www.econbiz.de/10010686931

Weighted KS statistics for inference on conditional moment inequalities

Armstrong, Timothy B. - In: Journal of Econometrics 181 (2014) 2, pp. 92-116

This paper proposes set estimators and conservative confidence regions for the identified set in conditional moment inequality models using Kolmogorov–Smirnov statistics with a truncated inverse variance weighting with increasing truncation points. The new weighting differs from those proposed...

Persistent link: https://www.econbiz.de/10010785283

Weighted KS statistics for inference on conditional moment inequalities

Armstrong, Timothy B. - In: Journal of econometrics 181 (2014) 2, pp. 92-116

Persistent link: https://www.econbiz.de/10010473336

Semiparametric Estimation of Signaling Games

Kim, Kyoo il - School of Economics, Singapore Management University - 2006

of multiple equilibria, without using an equilibrium selection rule. As a consequence, we adopt a set inference allowing …

Persistent link: https://www.econbiz.de/10004970414

Set Inference for Semiparametric Discrete Games

Kim, Kyoo il - School of Economics, Singapore Management University - 2006

equilibrium selection rule. We do a set inference while a game model can contain infinite dimensional parameters. Examples can … interval than those of the set estimator using the full information in the model. This finding justifies the use of the set … inference even though we can achieve a consistent point estimation. It is an interesting future research to compare these two …

Persistent link: https://www.econbiz.de/10005091219