Efficient Computation of Confidence Sets Using Classification on Equidistributed Grids
利用均匀分布网格上的分类高效计算置信集
Economic models produce moment inequalities, which can be used to form tests of the true parameters. Confidence sets (CS) of the true parameters are derived by inverting these tests. However, they often lack analytical expressions, necessitating a grid search to obtain the CS numerically by retaining the grid points that pass the test. When the statistic is not asymptotically pivotal, constructing the critical value for each grid point in the parameter space adds to the…