Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models

DOI10.1016/j.jeconom.2010.02.001zbMath1431.62590OpenAlexW1990281230MaRDI QIDQ736528

Denis Bolduc, Lynda Khalaf, Clément Yélou

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.02.001

zbMATH Keywords

delta methoddiscrete choiceconfidence setweak identificationparameter transformationgeneralized Fieller's theoremmaximum simulated likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25)

Related Items (3)

Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations ⋮ Exact confidence sets and goodness-of-fit methods for stable distributions ⋮ Identification robust inference in cointegrating regressions

Uses Software

• bootlib

Cites Work

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