Arbeitspapier
Information based inference in models with set-valued predictions and misspecification
This paper proposes an information-based inference method for partially identified parameters in incomplete models that is valid both when the model is correctly specified and when it is misspecified. Key features of the method are: (i) it is based on minimizing a suitably defined Kullback-Leibler information criterion that accounts for incompleteness of the model and delivers a non-empty pseudotrue set; (ii) it is computationally tractable; (iii) its implementation is the same for both correctly and incorrectly specified models; (iv) it exploits all information provided by variation in discrete and continuous covariates; (v) it relies on Rao's score statistic, which is shown to be asymptotically pivotal.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP02/24
- Classification
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Wirtschaft
- Subject
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Misspecification
Partial Identification
Rao's score statistic
- Event
-
Geistige Schöpfung
- (who)
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Kaido, Hiroaki
Molinari, Francesca
- Event
-
Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2024
- DOI
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doi:10.47004/wp.cem.2024.0224
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kaido, Hiroaki
- Molinari, Francesca
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2024
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