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A test for instrument validity
Kitagawa, Toru - 2014 - This draft: August, 2014
This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...
Persistent link: https://www.econbiz.de/10010392075
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A discrete model for bootstrap iteration
Davidson, Russell - 2015
In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the … possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the … sequence of bootstrap P values obtained by iterating the bootstrap. The main idea of the paper is that, if this sequence …
Persistent link: https://www.econbiz.de/10011295590
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A bootstrap test for instrument validity in heterogeneous treatment effect models
Kitagawa, Toru - 2013
bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to …
Persistent link: https://www.econbiz.de/10010190476
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Inference and decision for set identified parameters using posterior lower and upper probabilities
Kitagawa, Toru - 2011
This paper develops inference and statistical decision for set-identified parameters from the robust Bayes perspective. When a model is set-identified, prior knowledge for model parameters is decomposed into two parts: the one that can be updated by data (revisable prior knowledge) and the one...
Persistent link: https://www.econbiz.de/10009008702
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2015
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in …
Persistent link: https://www.econbiz.de/10011326079
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Calculating confidence intervals for continuous and discontinuous functions of parameters
Woutersen, Tiemen; Ham, John C. - 2013
-one outcomes), has zero derivatives, or unbounded derivatives, then researchers usually use the nonparametric bootstrap or sample … from the asymptotic distribution of the estimated parameter vector. Researchers also use these bootstrap approaches when … articles. We first show that both of these bootstrap procedures can produce confidence intervals whose asymptotic coverage is …
Persistent link: https://www.econbiz.de/10009747952
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2013
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10009692018
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014
This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...
Persistent link: https://www.econbiz.de/10010234017
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 6.0: April 4, 2014
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10010340367
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 10.2: May 4, 2014
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in …
Persistent link: https://www.econbiz.de/10010348998