Inference in incomplete models
Galichon
Alfred
author
Henry
Marc
author
Columbia University. Economics
Columbia University. Economics
contributor
originator
text
Working papers
New York
Department of Economics, Columbia University
2006
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.
Economic theory
Department of Economics Discussion Papers
0506-28
http://hdl.handle.net/10022/AC:P:378
English
NNC
NNC
2011-03-28 09:35:16 -0400
2011-06-22 14:27:08 -0400
3325
eng