arXiv 24 Feb 2021 · Econometrics · 49 citations (OpenAlex)
arXiv:2102.12257 · PDF · DOI · OpenAlex · Extracted main text
We provide a test for the specification of a structural model without identifying assumptions. We show the equivalence of several natural formulations of correct specification, which we take as our null hypothesis. From a natural empirical version of the latter, we derive a Kolmogorov-Smirnov statistic for Choquet capacity functionals, which we use to construct our test. We derive the limiting distribution of our test statistic under the null, and show that our test is consistent against certain classes of alternatives. When the model is given in parametric form, the test can be inverted to yield confidence regions for the identified parameter set. The approach can be applied to the estimation of models with sample selection, censored observables and to games with multiple equilibria.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jovanovic, Boyan (1989) Observable implications of models with multiple equilibria | 0.874 | 5 | 2 | 100% |
| 2 | Chernozhukov, Victor, Hong, Han, Tamer, Elie (2002) Inference on Parameter Sets in Econometric Models | 0.811 | 4 | 2 | 100% |
| 3 | Dudley, Richard (2003) Real Analysis and Probability | 0.737 | 3 | 2 | 100% |
| 4 | Vaart, Aad, Wellner, Jon (1996) Weak Convergence and Empirical Processes | 0.693 | 7 | 1 | 100% |
| 5 | Castaldo, Adriana, Maccheroni, Fabio, Marinacci, Massimo (2004) Random sets and their distributions | 0.644 | 4 | 1 | 100% |
| 6 | Kellerer, Hans (1984) Duality theorems for marginal problems | 0.644 | 4 | 1 | 100% |
| 7 | Dempster, Alan P (1967) Upper and lower probabilities induced by a multi-valued mapping | 0.644 | 2 | 2 | 100% |
| 8 | Vaart, Aad (1998) Asymptotic Statistics | 0.644 | 2 | 2 | 100% |
| 9 | Choquet, Gustave (1953) Théorie des Capacités | 0.585 | 3 | 1 | 100% |
| 10 | Andrews, Donald, Berry, Steven, Jia, Panle (2004) Confidence Regions for Parameters in Discrete Games with Multiple Equilibria, with an Application to Discount Chain Store Location | 0.511 | 2 | 1 | 100% |
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