论文标题

不符合指定模型的不和谐放松

Discordant Relaxations of Misspecified Models

论文作者

Li, Lixiong, Kédagni, Désiré, Mourifié, Ismaël

论文摘要

在许多设置的模型中,很难获得已识别集的可拖动表征。因此,研究人员通常依赖非识别条件,而经验结果通常基于确定集合的外部集合。这种做法通常被视为保守而有效,因为外套始终是确定集合的超集。但是,本文表明,当模型被数据驳斥时,从同一模型得出的两组非SHARP识别条件可能会导致脱节外部集合和矛盾的经验结果。我们为存在这种不和谐的存在提供了足够的条件,涵盖了以条件力矩不平等和Artstein(1983)的不平等为特征的模型。我们还为不一致的子模型提供了足够的条件,因此提供了一类模型,这些模型不能导致构建外套不能导致误导性的解释。在不和谐的情况下,我们通过开发一种方法来挽救错误指定模型的方法来关注Masten和Poirier(2021),但与他们不同,我们专注于离散的放松。我们考虑了恢复数据一致性的驳斥模型的所有最小放松。我们发现,这些最小放松的确定集合的结合对于可检测到的错误和具有直观的经验解释是可靠的。

In many set-identified models, it is difficult to obtain a tractable characterization of the identified set. Therefore, researchers often rely on non-sharp identification conditions, and empirical results are often based on an outer set of the identified set. This practice is often viewed as conservative yet valid because an outer set is always a superset of the identified set. However, this paper shows that when the model is refuted by the data, two sets of non-sharp identification conditions derived from the same model could lead to disjoint outer sets and conflicting empirical results. We provide a sufficient condition for the existence of such discordancy, which covers models characterized by conditional moment inequalities and the Artstein (1983) inequalities. We also derive sufficient conditions for the non-existence of discordant submodels, therefore providing a class of models for which constructing outer sets cannot lead to misleading interpretations. In the case of discordancy, we follow Masten and Poirier (2021) by developing a method to salvage misspecified models, but unlike them, we focus on discrete relaxations. We consider all minimum relaxations of a refuted model that restores data-consistency. We find that the union of the identified sets of these minimum relaxations is robust to detectable misspecifications and has an intuitive empirical interpretation.

扫码加入交流群

加入微信交流群

微信交流群二维码

扫码加入学术交流群,获取更多资源