计量经济模型中参数集的估计与置信区域

Estimation and Confidence Regions for Parameter Sets in Econometric Models

Econometrica · 2007
被引 627 · 同刊同年前 9%
人大 A+FT50ABS 4*

中文导读

为部分识别的计量经济模型(如矩不等式模型)提供了估计和推断框架,适用于博弈模型、显示偏好、缺失数据、拍卖、分位数回归和资产定价等应用。

Abstract

This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and equalities. Applications of this framework include the analysis of game-theoretic models, revealed preference restrictions, regressions with missing and corrupted data, auction models, structural quantile regressions, and asset pricing models. Copyright The Econometric Society 2007.

部分识别矩不等式置信集参数集估计