This paper explores the effects of simulated moments on the performance of inference methods based on moment inequalities. Commonly used confidence sets for parameters are level sets of criterion functions whose boundary points may depend on sample moments in an irregular manner. Due to this...

This study develops a framework for testing hypotheses on structural parameters in in-complete models. Such models make set-valued predictions and hence do not generally yield a unique likelihood function. The model structure, however, allows us to construct tests based on the least favorable...

The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen (2005)) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the nonsmoothness and nonconvexity of the IVQR GMM objective function. This paper...

This paper examines the efficient estimation of partially identified models defined by moment inequalities that are convex in the parameter of interest. In such a setting, the identified set is itself convex and hence fully characterized by its support function. We provide conditions under...

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...

This paper studies a two-stage procedure for estimating partially identified models, based on Chernozhukov, Hong, and Tamer’s (2007) theory of set estimation and inference. We consider the case where a sub-vector of parameters or their identified set can be estimated separately from the rest,...

This paper proposes an econometric framework to estimate market risk prices associated with risk-neutral measures Q under incomplete markets. We show that, under incomplete markets, the market price of risk is not point-identified but is instead identified as a bounded subset of an affine...

This paper studies the identification and estimation of weighted average derivatives of conditional location functionals including conditional mean and conditional quantiles in settings where either the outcome variable or a regressor is interval-valued. Building on Manski and Tamer (2002) who...