Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities

Joel L. Horowitz, Sokbae Lee*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

This article describes three methods for carrying out nonasymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of discrete games, and estimation based on grouped data. The partially identified parameters are characterized by restrictions that involve the unknown population means of observed random variables in addition to structural parameters. Inference consists of finding confidence intervals for functions of the structural parameters. Our theory provides finite-sample lower bounds on the coverage probabilities of the confidence intervals under three sets of assumptions of increasing strength. With the moderate sample sizes found in most economics applications, the bounds become tighter as the assumptions strengthen. We discuss estimation of population parameters that the bounds depend on and contrast our methods with alternative methods for obtaining confidence intervals for partially identified parameters. The results of Monte Carlo experiments and empirical examples illustrate the usefulness of our method.

Original languageEnglish (US)
Pages (from-to)927-938
Number of pages12
JournalJournal of Business and Economic Statistics
Volume41
Issue number3
DOIs
StatePublished - 2023

Keywords

  • Finite-sample bounds
  • Normal approximation
  • Partial identification
  • Sub-Gaussian distribution

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

Fingerprint

Dive into the research topics of 'Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities'. Together they form a unique fingerprint.

Cite this