SMU SOE Seminar Series (March 5, 2024, 4pm-5.30pm): Finite Sample Inference in Incomplete Models

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ABSTRACT We propose conﬁdence regions for the parameters of incomplete models with exact coverage of the true parameter in ﬁnite samples. Our conﬁdence region inverts a test, which generalizes Monte Carlo tests to incomplete models. The test statistic is a discrete analogue of a new optimal transport characterization of the sharp identiﬁed region. Both test statistic and critical values rely on simulation drawn from the distribution of latent variables and are computed using solutions to discrete optimal transport, hence linear programming problems. We also pro- pose a fast preliminary search in the parameter space with an alternative, more conservative yet consistent test, based on a parameter free critical value. Keywords: Incomplete models, set prediction, multiple equilibria, sharp identiﬁcation region, simulation-based testing, ﬁnite sample inference, optimal transport. JEL Codes: C15, C57, C61. Click here to view the CV. Click here to view the paper.
		PRESENTER Marc Henry The Pennsylvania State University
		RESEARCH FIELD Econometrics
		DATE: 5 March 2024 (Tuesday)
		TIME: 4pm - 5.30pm
		VENUE: Meeting Room 5.1, Level 5 School of Economics Singapore Management University 90 Stamford Road Singapore 178903