Inference on parameter sets in econometric models

by Victor Chernozhukov

This paper provides confidence regions for minima of an econometric criterion function Q([theta]). The minima form a set of parameters, [theta]I, called the identified set. In economic applications, [theta]I represents a class of economic models that are consistent with the data. Our inference procedures are criterion function based and so our confidence regions, which cover [theta]I with a prespecified probability, are appropriate level sets of Qn([theta]), the sample analog of Q([theta]). When [theta]I is a singleton, our confidence sets reduce to the conventional confidence regions based...