A Comparison of Inferential Methods in Partially Identified Models in Terms of Error in the Coverage Probability

50 Pages Posted: 6 Jul 2011

See all articles by Federico A Bugni

Federico A Bugni

Duke University, Dept. of Economics

Date Written: June 9, 2011

Abstract

This paper considers the problem of coverage of the elements of the identified set in a class of partially identified econometric models with a prespecified probability. In order to conduct inference in partially identified econometric models defined by moment (in)equalities, the literature has proposed three methods: the bootstrap, subsampling, and an asymptotic approximation. The objective of this paper is to compare these methods in terms of the rate at which they achieve the desired coverage level, i.e., in terms of the rate at which the error in the coverage probability (ECP) converges to zero.

Under certain conditions, we show that the ECP of the bootstrap and the ECP of the asymptotic approximation converge to zero at the same rate, which is a faster rate than the rate of the ECP of subsampling methods. As a consequence, under these conditions, the bootstrap and the asymptotic approximation produce inference that is more precise than subsampling. A Monte Carlo simulation study confirms that these results are relevant in nite samples.

Keywords: partial identification, moment inequalities, inference, hypothesis test, bootstrap, subsampling, asymptotic approximation, rates of convergence, error in the coverage probability

JEL Classification: C01, C12, C15

Suggested Citation

Bugni, Federico Andres, A Comparison of Inferential Methods in Partially Identified Models in Terms of Error in the Coverage Probability (June 9, 2011). Available at SSRN: https://ssrn.com/abstract=1879294 or http://dx.doi.org/10.2139/ssrn.1879294

Federico Andres Bugni (Contact Author)

Duke University, Dept. of Economics ( email )

Duke University Dept. of Economics
213 Social Sciences Box 90097
Durham, NC 27708-0204
United States
919-660-1887 (Phone)

HOME PAGE: http://econ.duke.edu/~fb32/index.html

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