Partial Identification and Confidence Intervals∗
نویسندگان
چکیده
We consider statistical inference on a single component of a parameter vector that satisfies a finite number of moment inequalities. The null hypothesis for this single component is given a dual characterization as a composite hypothesis regarding point identified parameters. We also are careful in the specification of the alternative hypothesis that also has a dual characterization as a composite hypothesis regarding point identified parameters. This setup substantially simplifies the conceptual basis of the inference problem. For an interval identified parameter we obtain closed form expressions for the confidence interval obtained by inverting the test statistic of the composite null against the composite alternative. JEL code: C01, C12
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