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满足有限个矩不等式的部分识别参数置信集AI 解读

This paper proposes a computationally simple way to construct confidence sets for a parameter of interest in models comprised of moment inequalities. Building on results from the literature on multivariate one-sided tests, I show how to test the hypothesis that any particular parameter value is logically consistent with the maintained moment inequalities. The associated test statistic has an asymptotic chi-bar-square distribution, and can be inverted to construct an…

多单位拍卖的部分识别与可检验限制AI 解读

Bidders' values in discriminatory and uniform-price auctions are not necessarily point-identified under the assumptions of equilibrium bidding and independent private values, but meaningful policy analysis can proceed from bounds on bidder values. This paper provides upper and lower bounds on the set of values that can rationalize a given distribution of bids, under the additional (and standard) assumption of non-increasing marginal values. Novel testable implications of the…

一类部分识别模型的渐近性质AI 解读

We propose inference procedures for partially identified population features for which the population identification region can be written as a transformation of the Aumann expectation of a properly defined set valued random variable (SVRV). An SVRV is a mapping that associates a set (rather than a real number) with each element of the sample space. Examples of population features in this class include interval-identified scalar parameters, best linear predictors with…

单调二元模型的部分识别：离散回归量与区间数据AI 解读

We investigate identification in semi-parametric binary regression models, y = 1(xβ+υ+ε > 0) when υ is either discrete or measured within intervals. The error term ε is assumed to be uncorrelated with a set of instruments z, ε is independent of υ conditionally on x and z, and the support of −(xβ + ε) is finite. We provide a sharp characterization of the set of observationally equivalent parameters β. When there are as many instruments z as variables x, the bounds of the…

简单博弈中均衡假设的识别能力AI 解读

We examine the identification power that (Nash) equilibrium assumptions play in conducting inference about parameters in some simple games. We focus on three static games in which we drop the Nash equilibrium assumption and instead use rationalizability as the basis for strategic play. The first example examines a bivariate discrete game with complete information of the kind studied in entry models. The second example considers the incomplete-information version of the…

误分类数据下概率分布的部分识别AI 解读

This paper addresses the problem of data errors in discrete variables. When data errors occur, the observed variable is a misclassified version of the variable of interest, whose distribution is not identified. Inferential problems caused by data errors have been conceptualized through convolution and mixture models. This paper introduces the direct misclassification approach. The approach is based on the observation that in the presence of classification errors, the…

计量经济模型中参数集合的估计与置信区域AI 解读

This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and equalities. Applications of this framework include the analysis of game-theoretic models, revealed preference restrictions, regressions with missing and corrupted data, auction models, structural quantile regressions, and asset pricing models. Copyright The Econometric Society 2007.

存在不依从的三臂试验中的因果效应界AI 解读

Summary The paper considers the analysis of three-arm randomized trials with non-compliance. In these trials, the average causal effects of treatments within principal strata of compliance behaviour are of interest for better understanding the effect of the treatment. Unfortunately, even with the usual assumptions, the average causal effects of treatments within principal strata are not point identified. However, the observable data do provide useful information on the…

动态面板离散选择模型的参数界AI 解读

Identification of dynamic nonlinear panel data models is an important and delicate problem in econometrics. In this paper we provide insights that shed light on the identification of parameters of some commonly used models. Using these insights, we are able to show through simple calculations that point identification often fails in these models. On the other hand, these calculations also suggest that the model restricts the parameter to lie in a region that is very small in…

部分识别参数的置信区间AI 解读

In the last decade a growing body of research has studied inference on partially identified parameters (e.g., Manski, 1990, 2003). In many cases where the parameter of interest is realvalued, the identification region is an interval whose lower and upper bounds may be estimated from sample data. Confidence intervals may be constructed to take account of the sampling variation in estimates of these bounds. Horowitz and Manski (1998, 2000) proposed and applied interval…

连续时间扩散模型中的自适应检验AI 解读

We propose an optimal test procedure for testing the marginal density functions of a class of nonlinear diffusion processes. The proposed test is not only an optimal one but also avoids undersmoothing. An adaptive test is constructed, and its asymptotic properties are investigated. To show the asymptotic properties, we establish some general results for moment inequalities and asymptotic distributions for strictly stationary processes under the α-mixing condition. These…

拟合 Kent 分布混合模型以辅助识别岩体节理组AI 解读

When examining a rock mass, joint sets and their orientations can play a significant role with regard to how the rock mass will behave. To identify joint sets present in the rock mass, the orientation of individual fracture planes can be measured on exposed rock faces and the resulting data can be examined for heterogeneity. In this article, the expectation–maximization algorithm is used to fit mixtures of Kent component distributions to the fracture data to aid in the…

含无关数据与核验偏差样本的非参数极大似然估计AI 解读

Suppose that some measurements come from a distribution F that is of interest and others come from another, irrelevant distribution G. Some measurements from F are verified and known to be from F. The other, unverified measurements may be from F or from G. Not all measurements from F are equally likely to be verified, and no measurement from G is ever verified. This model applies to measurements of low concentrations obtained using gas chromatography/mass spectroscopy, for…

含无关数据与核验偏差样本的非参数最大似然估计AI 解读

Suppose that some measurements come from a distribution F that is of interest and others come from another, irrelevant distribution G. Some measurements from F are verified and known to be from F. The other, unverified measurements may be from F or from G. Not all measurements from F are equally likely to be verified, and no measurement from G is ever verified. This model applies to measurements of low concentrations obtained using gas chromatography/mass spectroscopy, for…

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摘要暂缺

部分识别的计量经济模型AI 解读

This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best described as apparent identification. One objective of the paper is to explore the properties of conventional statistical procedures in the context of identification failure. Our analysis…

摘要暂缺

二元分布的一族依赖性概念AI 解读

A family of concepts of stochastic dependence for bivariate distribution functions is introduced. Each concept gives rise to a family of bivariate distribution functions. We show the equivalence of some of these families with families of positively dependent distribution functions, which are known in the literature, and characterize some of them by notions from reliability theory. Interrelations among the various families are studied, and some moment inequalities are…

不放回抽样中样本和的概率不等式AI 解读

Upper bounds are established for the probability that, in sampling without replacement from a finite population, the sample sum exceeds its expected value by a specified amount. These are obtained as corollaries of two main results. Firstly, a useful upper bound is derived for the moment generating function of the sum, leading to an exponential probability inequality and related moment inequalities. Secondly, maximal inequalities are obtained, extending Kolmogorov's…