Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities

DOI10.1080/07350015.2022.2093883MaRDI QIDQ6190702zbMATH OpenFDO

Authors Joel Horowitz, Sokbae Lee

Publication date 6 March 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.06491, https://figshare.com/articles/journal_contribution/Inference_in_a_class_of_optimization_problems_Confidence_regions_and_finite_sample_bounds_on_errors_in_coverage_probabilities/20171180

zbMATH Keywords

normal approximationpartial identificationsub-Gaussian distributionfinite-sample bounds

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Abstract: This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of discrete games, and estimation based on grouped data. The partially identified parameters are characterized by restrictions that involve the unknown population means of observed random variables in addition to structural parameters. Inference consists of finding confidence intervals for functions of the structural parameters. Our theory provides finite-sample lower bounds on the coverage probabilities of the confidence intervals under three sets of assumptions of increasing strength. With the moderate sample sizes found in most economics applications, the bounds become tighter as the assumptions strengthen. We discuss estimation of population parameters that the bounds depend on and contrast our methods with alternative methods for obtaining confidence intervals for partially identified parameters. The results of Monte Carlo experiments and empirical examples illustrate the usefulness of our method.

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