Credibility of confidence sets in nonstandard econometric problems

DOI10.3982/ECTA14023MaRDI QIDQ4613449zbMATH OpenOpenAlexFDO

Authors Ulrich K. Müller, Andriy Norets

Publication date 31 January 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta14023

zbMATH Keywords

Bayesbettingconditional coverageconfidence setsinvariancemoment inequalitiesnonstandard econometric problemsrecognizable subsetsunit rootsweak instruments

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Applications of statistics to economics (62P20)

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(8)

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• Frequentist properties of Bayesian inequality tests
• Projection-based inference with particle swarm optimization
• On asymptotic size distortions in the random coefficients logit model
• Non-standard tests through a composite null and alternative in point-identified parameters
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
• Honest confidence sets in nonparametric IV regression and other ill-posed models

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