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A note on regressions with interval data on a regressor


Cerquera, Daniel; Laisney, Francois; Ullrich, Hannes (2014). A note on regressions with interval data on a regressor. SSRN 1419, University of Zurich.

Abstract

Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we present two extensions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The modified minimum distance (MMD) estimates the true identified set and the modified method of moments (MMM) a superset. Our first contribution is to characterize the true identified set and the superset. Second, we complete and extend the Monte Carlo study of Manski and Tamer (2002). We present benchmark results using the exact functional form for the expectation of the dependent variable conditional on observables to compare with results using its nonparametric estimate, and illustrate the superiority of MMD over MMM.

Abstract

Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we present two extensions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The modified minimum distance (MMD) estimates the true identified set and the modified method of moments (MMM) a superset. Our first contribution is to characterize the true identified set and the superset. Second, we complete and extend the Monte Carlo study of Manski and Tamer (2002). We present benchmark results using the exact functional form for the expectation of the dependent variable conditional on observables to compare with results using its nonparametric estimate, and illustrate the superiority of MMD over MMM.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Business Administration
Dewey Decimal Classification:330 Economics
Language:English
Date:29 July 2014
Deposited On:30 Dec 2014 18:29
Last Modified:08 Dec 2017 09:16
Series Name:SSRN
Related URLs:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2512195
Other Identification Number:merlin-id:10170

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