Discrete games with flexible information structures: an application to local grocery markets

Grieco, Paul L. E.

doi:10.1111/1756-2171.12052

Cited by 90 publications

(63 citation statements)

References 66 publications

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“…However, in empirical work, researchers often report marginal confidence intervals for each coordinate of θ, either to follow the tradition of standard t-test-based inference or because only few individual coordinates of θ are of interest. The current practice appears to be reporting projections of the joint CS's for the vector θ, for example, Ciliberto and Tamer (2009) and Grieco (2014).…”

Section: Introductionmentioning

confidence: 99%

Inference for subvectors and other functions of partially identified parameters in moment inequality models

Bugni

Canay²,

Shi

2017

Quantitative Economics

125

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This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function selects a subvector of the parameter, such as a single component. The new inference method we propose controls asymptotic size uniformly over a large class of data distributions and improves upon the two existing methods that deliver uniform size control for this type of problem: projection-based and subsampling inference. Relative to projection-based procedures, our method presents three advantages: (i) it weakly dominates in terms of finite sample power, (ii) it strictly dominates in terms of asymptotic power, and (iii) it is typically less computationally demanding. Relative to subsampling, our method presents two advantages: (i) it strictly dominates in terms of asymptotic power (for reasonable choices of subsample size), and (ii) it appears to be less sensitive to the choice of its tuning parameter than subsampling is to the choice of subsample size.

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Section: Introductionmentioning

confidence: 99%

Inference for subvectors and other functions of partially identified parameters in moment inequality models

Bugni

Canay²,

Shi

2017

Quantitative Economics

125

View full text Add to dashboard Cite

show abstract

“…Applied papers using this test include Ciliberto and Tamer (2010), Grieco (2014), Morales and Dickstein (2015), and Wollmann (2015), among others.…”

Section: Power Advantage Over Projection Testsmentioning

confidence: 99%

“…However, in empirical work, researchers often report marginal confidence intervals for each coordinate of θ, either to follow the tradition of standard t-test-based inference or because only few individual coordinates of θ are of interest. The current practice appears to be reporting projections of the joint CS's for the vector θ, e.g., Ciliberto and Tamer (2010) and Grieco (2014).…”

Section: Introductionmentioning

confidence: 99%

Inference for functions of partially identified parameters in moment inequality models

Bugni¹,

Canay²,

Shi³

2014

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size uniformly over a large class of data distributions. The current literature describes only two other procedures that deliver uniform size control for this type of problem: projection-based and subsampling inference. Relative to projection-based procedures, our method presents three advantages: (i) it weakly dominates in terms of finite sample power, (ii) it strictly dominates in terms of asymptotic power, and (iii) it is typically less computationally demanding. Relative to subsampling, our method presents two advantages: (i) it strictly dominates in terms of asymptotic power (for reasonable choices of subsample size), and (ii) it appears to be less sensitive to the choice of its tuning parameter than subsampling is to the choice of subsample size.

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“…Grieco (2013) introduces an entry model that includes both publicly observed and privately known structural errors for each firm and studies the impact of supercenters -large stores such as Wal-Mart -on the profitability of rural grocery stores. The parameter θ in his application is multi-dimensional with 11 components.…”

Section: Framework and Test Statisticmentioning

confidence: 99%

“…However, interest centers on the coefficient that measures the presence of a supercenter on the value of a grocery store. In his application, Grieco (2013) also reports projections of the confidence set for θ onto parameter axes and clarifies that such table "exaggerates the size of the confidence sets of the full model" (see Grieco, 2013, footnote 54).…”

Section: Framework and Test Statisticmentioning

confidence: 99%

Inference for functions of partially identified parameters in moment inequality models

Bugni¹,

Canay²,

Shi³

2014

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract This paper introduces a new hypothesis test for the null hypothesis H0 : f (θ) = γ0, where f (·) is a known function, γ0 is a known constant, and θ is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment inequality models, that is, for a multidimensional θ, the function f (θ) = θ k selects the kth coordinate of θ. Our test controls asymptotic size uniformly over a large class of distributions of the data and has better asymptotic power properties than currently available methods. In particular, we show that the new test has asymptotic power that dominates the one corresponding to two existing competitors in the literature: subsampling and projection-based tests. Terms of use: Documents in

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Discrete games with flexible information structures: an application to local grocery markets

Cited by 90 publications

References 66 publications

Inference for subvectors and other functions of partially identified parameters in moment inequality models

Inference for subvectors and other functions of partially identified parameters in moment inequality models

Inference for functions of partially identified parameters in moment inequality models

Inference for functions of partially identified parameters in moment inequality models

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