Constraint qualifications in partial identification

DOI10.1017/S0266466621000207MaRDI QIDQ5081792zbMATH OpenFDO

Authors Hiroaki Kaido, Francesca Molinari, Jörg Stoye

Publication date 17 June 2022

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.09103

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Abstract: The literature on stochastic programming typically restricts attention to problems that fulfill constraint qualifications. The literature on estimation and inference under partial identification frequently restricts the geometry of identified sets with diverse high-level assumptions. These superficially appear to be different approaches to closely related problems. We extensively analyze their relation. Among other things, we show that for partial identification through pure moment inequalities, numerous assumptions from the literature essentially coincide with the Mangasarian-Fromowitz constraint qualification. This clarifies the relation between well-known contributions, including within econometrics, and elucidates stringency, as well as ease of verification, of some high-level assumptions in seminal papers.

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Cited in

(4)

• Local linearization based subvector inference in moment inequality models
• A simple specification test for models with many conditional moment inequalities
• Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
• Generalized Lee bounds

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