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Improving confidence set estimation when parameters are weakly identified


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Publication Date: 2016-06-29

Journal Title: Statistics & Probability Letters

Publisher: Elsevier

Volume: 118

Pages: 117-123

Language: English

Type: Article

This Version: AM

Metadata: Show full item record

Citation: Battey, H., Feng, Q., & Smith, R. J. (2016). Improving confidence set estimation when parameters are weakly identified. Statistics & Probability Letters, 118 117-123. https://doi.org/10.1016/j.spl.2016.06.015

Description: This is the author accepted manuscript. The final version is available from Elsevier via http://dx.doi.org/10.1016/j.spl.2016.06.015

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.

Keywords: weak instruments, moment inequality conditions

Sponsorship: National Science Foundation of China (Grant ID: 71301026)

Identifiers:

External DOI: https://doi.org/10.1016/j.spl.2016.06.015

This record's URL: https://www.repository.cam.ac.uk/handle/1810/260958



Rights: Attribution-NonCommercial-NoDerivatives 4.0 International

Licence URL: http://creativecommons.org/licenses/by-nc-nd/4.0/





Author: Battey, HeatherFeng, QiangSmith, Richard J.

Source: https://www.repository.cam.ac.uk/handle/1810/260958



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