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Considerations on partially identified regression models

By Daniel Cerquera, François Laisney and Hannes Ullrich


Motivated by Manski and Tamer (2002) and especially their partial identification analysis\ud of the regression model where one covariate is only interval-measured, we offer several contributions.\ud Manski and Tamer (2002) propose two estimation approaches in this context, focussing\ud on general results. The modified minimum distance (MMD) estimates the true identified set\ud and the modified method of moments (MMM) a superset. Our first contribution is to characterize\ud the true identified set and the superset. Second, we complete and extend the Monte Carlo\ud study of Manski and Tamer (2002). We present benchmark results using the exact functional\ud form for the expectation of the dependent variable conditional on observables to compare with\ud results using its nonparametric estimates, and illustrate the superiority of MMD over MMM.\ud For MMD, we propose a simple shortcut for estimation

Topics: 330 Wirtschaft
Year: 2012
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