skip to content

Faculty of Economics

Journal Cover

Battey, H., Feng, Q., and Smith, R. J.

Improving Confidence Set Estimation when Parameters are Weakly Identified

Statistics & Probability Letters

Vol. 118 pp. 117-123 (2016)

Abstract: We consider inference in weakly identified moment condition models when additional partially identifying moment inequality constraints are available. We detail the limiting distribution of the estimation criterion function and consequently propose a confidence set estimator for the true parameter.

Keywords: Weak instruments, Moment inequality conditions

Author links: Richard J Smith  

Publisher's Link:

Papers and Publications

Recent Publications

Huffman, D., Raymond, C. and Shvets, J. Persistent Overconfidence and Biased Memory: Evidence from Managers American Economic Review [2022]

Porzio, T., Rossi, F. and Santangelo, G. The Human Side of Structural Transformation American Economic Review [2022]

Ding, Y. A Simple Joint Model for Returns, Volatility and Volatility of Volatility Journal of Econometrics [2023]

Evans, R. A. and Reiche, S. K. When Is a Contrarian Adviser Optimal? American Economic Journal: Microeconomics [2023]