Considerations on partially identified regression models

Daniel Cerquera, Francois Laisney and Hannes Ullrich

No 12-024, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we offer several contributions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The modified minimum distance (MMD) estimates the true identified set and the modified method of moments (MMM) a superset. Our first contribution is to characterize the true identified set and the superset. Second, we complete and extend the Monte Carlo study of Manski and Tamer (2002). We present benchmark results using the exact functional form for the expectation of the dependent variable conditional on observables to compare with results using its nonparametric estimates, and illustrate the superiority of MMD over MMM. For MMD, we propose a simple shortcut for estimation.

Keywords: partial identification; true identified set; superset; MMD; MMM; estimation (search for similar items in EconPapers)
JEL-codes: C01 C13 C40 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Considerations on partially identified regression models (2012)
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