More on Confidence Intervals for Partially Identified Parameters
More on Confidence Intervals for Partially Identified Parameters
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有关部分识别参数的置信区间的更多信息
DOI：
10.1920/wp.cem.2008.1108
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发表时间：
2008
期刊：
影响因子：
6.1
通讯作者：
Jörg Stoye
中科院分区：
文献类型：
--
作者：
Jörg Stoye
本文扩展了Imbens和Manski（2004）对区间识别参数的置信区间的分析。对于他们的最终结果，Imbens和Manski隐式地假设一个讨厌的参数的超有效估计。这一点以前似乎没有被注意到，它限制了结果的适用性。我用仅仅削弱超效率条件的假设和完全消除超效率条件的假设重新分析了这个问题。Imbens和Manski的置信区域被认为是有效的，在较弱的假设比他们的，但超效率是必需的。我还提供了一个不同的置信区间，是有效的超效率下，但可以适应一般情况下，在这种情况下，它嵌入了一个规范测试的nonempiry的确定集。方法上的贡献是注意到，推理的困难来自一个边界问题，关于滋扰参数，澄清连接到其他工作的部分识别。
This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the result's applicability. I re-analyze the problem both with assumptions that merely weaken the superefficiency condition and with assumptions that remove it altogether. Imbens and Manski's confidence region is found to be valid under weaker assumptions than theirs, yet superefficiency is required. I also provide a different confidence interval that is valid under superefficiency but can be adapted to the general case, in which case it embeds a specification test for nonemptiness of the identified set. A methodological contribution is to notice that the difficulty of inference comes from a boundary problem regarding a nuisance parameter, clarifying the connection to other work on partial identification.