More on confidence intervals for partially identified parameters

This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the result's applicability. I re-analyze the problem both with assumptions that merely weaken the superefficiency condition and with assumptions that remove it altogether. Imbens and Manski's confidence region is found to be valid under weaker assumptions than theirs, yet superefficiency is required. I also provide a different confidence interval that is valid under superefficiency but can be adapted to the general case, in which case it embeds a specification test for nonemptiness of the identified set. A methodological contribution is to notice that the difficulty of inference comes from a boundary problem regarding a nuisance parameter, clarifying the connection to other work on partial identification.

The government’s pledge to raise the share of revenue from green taxes has always been problematic

One little discussed aspect of the Autumn Statement has been the ambiguous state in which it has left the commitment to environmental taxes made in the coalition agreement. Andrew Leicester and George Stoye explore the current status of this pledge, going on to argue that it is indicative of an ineffective and problematic approach to taxation

Nonparametric Analysis of Random Utility Models

This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational consumers. We test a necessary and sufficient condition for this that does not rely on any restriction on unobserved heterogeneity or the number of goods. We also propose and implement a control function approach to account for endogenous expenditure. An econometric result of independent interest is a test for linear inequality constraints when these are represented as the vertices of a polyhedron rather than its faces. An empirical application to the U.K. Household Expenditure Survey illustrates computational feasibility of the method in demand problems with 5 goods.Comment: 54 pages, 2 figure

Confidence Intervals for Projections of Partially Identified Parameters

We propose a bootstrap-based calibrated projection procedure to build confidence intervals for single components and for smooth functions of a partially identified parameter vector in moment (in)equality models. The method controls asymptotic coverage uniformly over a large class of data generating processes. The extreme points of the calibrated projection confidence interval are obtained by extremizing the value of the function of interest subject to a proper relaxation of studentized sample analogs of the moment (in)equality conditions. The degree of relaxation, or critical level, is calibrated so that the function of theta, not theta itself, is uniformly asymptotically covered with prespecified probability. This calibration is based on repeatedly checking feasibility of linear programming problems, rendering it computationally attractive. Nonetheless, the program defining an extreme point of the confidence interval is generally nonlinear and potentially intricate. We provide an algorithm, based on the response surface method for global optimization, that approximates the solution rapidly and accurately, and we establish its rate of convergence. The algorithm is of independent interest for optimization problems with simple objectives and complicated constraints. An empirical application estimating an entry game illustrates the usefulness of the method. Monte Carlo simulations confirm the accuracy of the solution algorithm, the good statistical as well as computational performance of calibrated projection (including in comparison to other methods), and the algorithm's potential to greatly accelerate computation of other confidence intervals.Comment: This version is identical to the paper forthcoming at Econometrica and includes the online appendi

Revealed Price Preference: Theory and Empirical Analysis

With the aim of determining the welfare implications of price change in consumption data, we introduce a revealed preference relation over prices. We show that an absence of cycles in this preference relation characterizes a model of demand where consumers trade-off the utility of consumption against the disutility of expenditure. This model is appropriate whenever a consumer's demand over a {\em strict} subset of all available goods is being analyzed. For the random utility extension of the model, we devise nonparametric statistical procedures for testing and welfare comparisons. The latter requires the development of novel tests of linear hypotheses for partially identified parameters. In doing so, we provide new algorithms for the calculation and statistical inference in nonparametric counterfactual analysis for a general partially identified model. Our applications on national household expenditure data provide support for the model and yield informative bounds concerning welfare rankings across different prices.Comment: 53 page

Stormy Isle of Peace

On Ireland's 800 year fight with the British, map of Ireland (p. 170

Large scale hierarchical clustering of protein sequences

Background: Searching a biological sequence database with a query sequence looking for homologues has become a routine operation in computational biology. In spite of the high degree of sophistication of currently available search routines it is still virtually impossible to identify quickly and clearly a group of sequences that a given query sequence belongs to. Results: We report on our developments in grouping all known protein sequences hierarchically into superfamily and family clusters. Our graph-based algorithms take into account the topology of the sequence space induced by the data itself to construct a biologically meaningful partitioning. We have applied our clustering procedures to a non-redundant set of about 1,000,000 sequences resulting in a hierarchical clustering which is being made available for querying and browsing at http://systers.molgen.mpg.de/. Conclusions: Comparisons with other widely used clustering methods on various data sets show the abilities and strengths of our clustering methods in producing a biologically meaningful grouping of protein sequences