Estimation and Confidence Regions for Parameter Sets in Econometric Models *

@inproceedings{Chernozhukov2006EstimationAC,
  title={Estimation and Confidence Regions for Parameter Sets in Econometric Models *},
  author={Victor Chernozhukov and HAN HONG ELIE TAMER},
  year={2006}
}
This paper provides estimators and confidence regions for minima of an econometric criterion function Q(θ). The minima form a set of parameters, ΘI , called here the identified set. In economic applications, ΘI represents a set of economic models that in population pass the set of testable restrictions embodied in Q(θ). When ΘI is a singleton, the confidence sets reduce to the conventional confidence regions based on inverting the likelihood or other criterion function. The procedure is valid… CONTINUE READING
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