Improving confidence set estimation when parameters are weakly identified

DOI10.1016/J.SPL.2016.06.015MaRDI QIDQ312102zbMATH OpenOpenAlexFDO

Authors Heather Battey, Qiang Feng, Richard J. Smith

Publication date 13 September 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.06.015

zbMATH Keywords

weak instrumentsmoment inequality conditions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

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Cites work

• A multivariate analogue of the one-sided test
• An Exact Test for Multiple Inequality and Equality Constraints in the Linear Regression Model
• Asymptotic Statistics
• Causal graphs: addressing the confounding problem without instruments or ignorability
• Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
• Estimating Equations with Incomplete Categorical Covariates in the Cox Model
• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• Estimation and inference with weak, semi-strong, and strong identification
• Estimation with overidentifying inequality moment conditions
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• GMM with Weak Identification
• Inference for parameters defined by moment inequalities using generalized moment selection
• Inference for subvectors and other functions of partially identified parameters in moment inequality models
• Instrumental variables: an econometrician's perspective
• One-Sided Testing Problems in Multivariate Analysis
• Partial identification of probability distributions.
• Testing Parameters in GMM Without Assuming that They Are Identified
• The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models
• Weak convergence and empirical processes. With applications to statistics

Cited in

(2)

• Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
• Likelihood-based confidence sets for partially identified parameters

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