Cornell University

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Econometrics Workshop: Jörg Stoye

Tuesday, September 18, 2018 at 11:40am to 1:10pm

Uris Hall, 498

Jörg Stoye - Cornell University

Confidence Interals for Projections of Partially Identified Parameters (joint w/Hiroaki Kaido & Francesca Molinari)

Abstract:  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 component (or 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 component (or function) of θ, not θ 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. The algorithm is of independent interest for inference on optimal values of stochastic nonlinear programs. We establish its convergence under conditions satisfied by canonical examples in the moment (in)equalities literature. Our assumptions and those used in the leading alternative approach (a profiling based method) are not nested. An extensive Monte Carlo analysis confirms the accuracy of the solution algorithm and the good statistical as well as computational performance of calibrated projection, including in comparison to other methods.

Event Type

Class/ Workshop

Departments

Economics

Tags

economics, EconSeminar, EconMetrics, cascal

Hashtag

#CornellEcon

Contact E-Mail

alg5@cornell.edu

Contact Name

Amy Moesch

Contact Phone

607-255-5617

Speaker

Joerg Stoye

Speaker Affiliation

Cornell University

Open To

Cornell Economics Community (List Serve Members)

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