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Inference in incomplete models

Alfred Galichon; Marc Henry

Title:
Inference in incomplete models
Author(s):
Galichon, Alfred
Henry, Marc
Date:
Type:
Working papers
Department:
Economics
Permanent URL:
Series:
Department of Economics Discussion Papers
Part Number:
0506-28
Abstract:
We provide a test for the specification of a structural model without identifying assumptions. We show the equivalence of several natural formulations of correct specification, which we take as our null hypothesis. From a natural empirical version of the latter, we derive a Kolmogorov-Smirnov statistic for Choquet capacity functionals, which we use to construct our test. We derive the limiting distribution of our test statistic under the null, and show that our test is consistent against certain classes of alternatives. When the model is given in parametric form, the test can be inverted to yield confidence regions for the identified parameter set. The approach can be applied to the estimation of models with sample selection, censored observables and to games with multiple equilibria.
Subject(s):
Economic theory
Item views:
132
Metadata:
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