Artikel
Inference in nonparametric/semiparametric moment equality models with shape restrictions
This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which controls size uniformly and applies to both point-identified and partially identified models. The test can be inverted to construct confidence sets after imposing the shape restriction. Monte Carlo experiments show the finite-sample properties of this method. In an empirical illustration, I apply the method to ascending auctions held by the US Forest Service and show that imposing shape restrictions can significantly improve inference.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 11 ; Year: 2020 ; Issue: 2 ; Pages: 609-636 ; New Haven, CT: The Econometric Society
- Klassifikation
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Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
- Thema
-
Nonparametric/semiparametric models
partial identification
shape restrictions
unconditional moments
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Zhu, Yu
- Ereignis
-
Veröffentlichung
- (wer)
-
The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2020
- DOI
-
doi:10.3982/QE1023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Zhu, Yu
- The Econometric Society
Entstanden
- 2020
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