Econometrica: Jan 2012, Volume 80, Issue 1

Inference in Nonparametric Instrumental Variables With Partial Identification

https://doi.org/10.3982/ECTA7493
p. 213-275

Andres Santos

This paper develops methods for hypothesis testing in a nonparametric instrumental variables setting within a partial identification framework. We construct and derive the asymptotic distribution of a test statistic for the hypothesis that at least one element of the identified set satisfies a conjectured restriction. The same test statistic can be employed under identification, in which case the hypothesis is whether the true model satisfies the posited property. An almost sure consistent bootstrap procedure is provided for obtaining critical values. Possible applications include testing for semiparametric specifications as well as building confidence regions for certain functionals on the identified set. As an illustration we obtain confidence intervals for the level and slope of Brazilian fuel Engel curves. A Monte Carlo study examines finite sample performance.

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Supplemental Material

Supplement to "Inference in Nonparametric Instrumental Variables with Partial Identification"

A zip file containing all the files needed to replicate the simulation results for the paper.

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Supplement to "Inference in Nonparametric Instrumental Variables with Partial Identification"

A zip file that contains all the files needed to replicate the analysis of Brazilian fuel Engel curves.

Read More View ZIP


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