Sharp and Robust Estimation of Partially Identified Discrete Response Models

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Tác giả: Shakeeb Khan, Tatiana Komarova, Denis Nekipelov

Ngôn ngữ: eng

Ký hiệu phân loại: 001.434 Experimental method

Thông tin xuất bản: 2023

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 198298

Comment: 68 pages, 2 figuresSemiparametric discrete choice models are widely used in a variety of practical applications. While these models are point identified in the presence of continuous covariates, they can become partially identified when covariates are discrete. In this paper we find that classical estimators, including the maximum score estimator, (Manski (1975)), loose their attractive statistical properties without point identification. First of all, they are not sharp with the estimator converging to an outer region of the identified set, (Komarova (2013)), and in many discrete designs it weakly converges to a random set. Second, they are not robust, with their distribution limit discontinuously changing with respect to the parameters of the model. We propose a novel class of estimators based on the concept of a quantile of a random set, which we show to be both sharp and robust. We demonstrate that our approach extends from cross-sectional settings to classical static and dynamic discrete panel data models.
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