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reverse the perspective and investigate the identification problem under concerns for robustness to private information. We … show how the presence of private information leads to partial rather than complete identification of the structural … parameters of the game. As a prominent example we analyze the canonical problem of demand and supply identification. …
Persistent link: https://www.econbiz.de/10009322932
criterion functions. We determine the asymptotic distributions of estimators under lack of identification and under weak, semi …-strong, and strong identification. We determine the asymptotic size (in a uniform sense) of standard t and quasi-likelihood ratio … identification. The results are applied to two examples: a nonlinear binary choice model and the smooth transition threshold …
Persistent link: https://www.econbiz.de/10009324078
's whose critical values are designed to yield robustness to identification problems. The results of the paper are applied to a …
Persistent link: https://www.econbiz.de/10009352221
perspective and investigate the identification problem under concerns for robustness to private information. The presence of … private information leads to set rather than point identification of the structural parameters of the game. …
Persistent link: https://www.econbiz.de/10009386343
's robust to such identification problems. The results apply to a class of extremum estimators and corresponding tests and CS … the parameter that determines the strength of identification. This covers a class of models estimated using maximum … sense) of standard and identification-robust tests and CS's are established. The results are applied to the ARMA(1, 1) time …
Persistent link: https://www.econbiz.de/10009207364
highlights of this recent literature, focusing on identification and empirical applications. We describe three insights that …
Persistent link: https://www.econbiz.de/10004990722
This paper studies a class of models where full identification is not necessarily assumed. We term such models … frequently proceed under conditions that are best described as apparent identification. One objective of the paper is to explore … the properties of conventional statistical procedures in the context of identification failure. Our analysis concentrates …
Persistent link: https://www.econbiz.de/10004990834
also reverse the perspective and investigate the identification problem under concerns for robustness to private … information. The presence of private information leads to set rather than point identification of the structural parameters of the …
Persistent link: https://www.econbiz.de/10010686938
criterion functions. We determine the asymptotic distributions of estimators under lack of identification and under weak, semi …-strong, and strong identification. We determine the asymptotic size (in a uniform sense) of standard t and quasi-likelihood ratio … identification. The results are applied to two examples: a nonlinear binary choice model and the smooth transition threshold …
Persistent link: https://www.econbiz.de/10010686939
perspective and investigate the identification problem under concerns for robustness to private information. The presence of … private information leads to set rather than point identification of the structural parameters of the game. …
Persistent link: https://www.econbiz.de/10010686940