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Improving confidence set estimation when parameters are weakly identified.

Authors :
Battey, Heather
Feng, Qiang
Smith, Richard J.
Source :
Statistics & Probability Letters. Nov2016, Vol. 118, p117-123. 7p.
Publication Year :
2016

Abstract

We consider inference in weakly identified moment condition models when additional partially identifying moment inequality constraints are available. We detail the limiting distribution of the estimation criterion function and consequently propose a confidence set estimator for the true parameter. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*SET theory
*PARAMETER estimation
*DISTRIBUTION (Probability theory)
*MATHEMATICAL inequalities
*MATHEMATICAL analysis

Details

Language :
English
ISSN :
01677152
Volume :
118
Database :
Academic Search Index
Journal :
Statistics & Probability Letters
Publication Type :
Periodical
Accession number :
117159250
Full Text :
https://doi.org/10.1016/j.spl.2016.06.015
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