Xunkang Tian
arXiv 27 Aug 2025 · Econometrics
arXiv:2508.19853 · PDF · Extracted main text
This paper develops a two-stage method for inference on partially identified parameters in moment inequality models with separable nuisance parameters. In the first stage, the nuisance parameters are estimated separately, and in the second stage, the identified set for the parameters of interest is constructed using a refined chi-squared test with variance correction that accounts for the first-stage estimation error. We establish the asymptotic validity of the proposed method under mild conditions and characterize its finite-sample properties. The method is broadly applicable to models where direct elimination of nuisance parameters is difficult or introduces conservativeness. Its practical performance is illustrated through an application: structural estimation of entry and exit costs in the U.S. vehicle market based on Wollmann (2018).
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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 | Wollmann, T. G (2018) Trucks without bailouts: Equilibrium product characteristics for commercial vehicles | 0.928 | 4 | 4 | 100% |
| 2 | Cox, G. and X. Shi (2023) Simple adaptive size-exact testing for full-vector and subvector inference in moment inequality models | 0.809 | 17 | 3 | 53% |
| 3 | Ho, K. and A. Pakes (2014) Hospital choices, hospital prices, and financial incentives to physicians | 0.737 | 3 | 2 | 100% |
| 4 | Kohler, D. A (1967) Projections of convex polyhedral sets | 0.644 | 2 | 2 | 100% |
| 5 | Andrews, D. W. and G. Soares (2010) Inference for parameters defined by moment inequalities using generalized moment selection | 0.405 | 1 | 1 | 100% |
| 6 | Andrews, I., J. Roth, and A. Pakes (2019) Inference for linear conditional moment inequalities, Tech | 0.405 | 1 | 1 | 100% |
| 7 | Berry, S., J. Levinsohn, and A. Pakes (1995) Automobile Prices in Market Equilibrium | 0.405 | 1 | 1 | 100% |
| 8 | Bugni, F. A., I. A. Canay, and X. Shi (2017) Inference for subvectors and other functions of partially identified parameters in moment inequality models | 0.405 | 1 | 1 | 100% |
| 9 | Canay, I. A (2010) EL inference for partially identified models: Large deviations optimality and bootstrap validity | 0.405 | 1 | 1 | 100% |
| 10 | Chen, X., T. M. Christensen, and E. Tamer (2018) Monte Carlo confidence sets for identified sets | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 16 scored citations.