Improving confidence set estimation when parameters are weakly identified

Abstract

We consider inference in weakly identified moment condition models when additional partially identifying moment inequality constraints are available. We detail the limiting distribution of the estimation criterion function and consequently propose a confidence set estimator for the true parameter.National Science Foundation of China (Grant ID: 71301026)This is the author accepted manuscript. The final version is available from Elsevier via http://dx.doi.org/10.1016/j.spl.2016.06.01

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