Set Identified Linear Models
Set Identified Linear Models
复制标题
设置识别的线性模型
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
E. Maurin
中科院分区：
文献类型：
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作者：
C. Bontemps;T. Magnac;E. Maurin
分析了满足不完全线性矩约束E(z>；(Xy))=E(z>；u(Z))的参数辨识与估计问题，其中z为工具集，u(Z)为未知有界标量函数。我们首先提供了这样一种设置的经验相关的例子。其次，我们证明了这些条件集证明了所识别的集合B在哪里是有界凸的。我们不仅在矩条件的个数等于感兴趣的参数个数的情况下，而且在条件个数严格大于参数个数的情况下，给出了所识别集合的精确刻画。我们得到了附加限制有效的充要条件，推广了常见的Sargan条件。第三，我们给出了由辨识结果构造的模拟估计的渐近性的新结果。当B是严格凸集时，我们还构造了零假设0 2B的检验，它的大小是渐近正确的，并且依赖于集合B{0}的支持函数的最小化。文中给出了一些蒙特卡罗实验的结果。
We analyze the identification and estimation of parameters satisfying the incomplete linear moment restrictions E(z > (x y)) = E(z > u(z)) where z is a set of instruments and u(z) an unknown bounded scalar function. We first provide empirically relevant examples of such a set-up. Second, we show that these conditions set identify where the identified set B is bounded and convex. We provide a sharp characterization of the identified set not only when the number of moment conditions is equal to the number of parameters of interest but also in the case in which the number of conditions is strictly larger than the number of parameters. We derive a necessary and sufficient condition of the validity of supernumerary restrictions which generalizes the familiar Sargan condition. Third, we provide new results on the asymptotics of analog estimates constructed from the identification results. When B is a strictly convex set, we also construct a test of the null hypothesis, 0 2 B, whose size is asymptotically correct and which relies on the minimization of the support function of the set B { 0}. Results of some Monte Carlo experiments are presented.