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Inference on sets in finance
Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - Centre for Microdata Methods and Practice (CEMMAP) - 2012
In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as … inference procedures are also more powerful than the structured projection methods, which rely upon building confidence sets for …
Persistent link: https://www.econbiz.de/10010604307
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Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2006
This paper proposes a new way to construct confidence sets for a parameter of interest in models comprised of finitely many 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...
Persistent link: https://www.econbiz.de/10005509548