centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

Intersection bounds: estimation and inference

Authors: Victor Chernozhukov , Sokbae (Simon) Lee and Adam Rosen
Date: 04 November 2011
Type: cemmap Working Paper, CWP34/11
DOI: 10.1920/wp.cem.2011.3411

Abstract

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. Our approach is especially convenient for models comprised of a continuum of inequalities that are separable in parameters, and also applies to models with inequalities that are non-separable in parameters. Since analog estimators for intersection bounds can be severely biased in finite samples, routinely underestimating the size of the identified set, we also offer a median-bias-corrected estimator of such bounds as a natural by-product of our inferential procedures. We develop theory for large sample inference based on the strong approximation of a sequence of series or kernel-based empirical processes by a sequence of "penultimate" Gaussian processes. These penultimate processes are generally not weakly convergent, and thus non-Donsker. Our theoretical results establish that we can nonetheless perform asymptotically valid inference based on these processes. Our construction also provides new adaptive inequality/moment selection methods. We provide conditions for the use of nonparametric kernel and series estimators, including a novel result that establishes strong approximation for any general series estimator admitting linearization, which may be of independent interest.

Download full version
New version:
Victor Chernozhukov, Sokbae (Simon) Lee and Adam Rosen October 2012, Intersection bounds: estimation and inference, cemmap Working Paper, CWP33/12, cemmap
Previous version:
Victor Chernozhukov, Sokbae (Simon) Lee and Adam Rosen July 2009, Intersection Bounds: estimation and inference, cemmap Working Paper, CWP19/09, The IFS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us