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: https://doi.org/10.1016/j.spl.2016.06.015