Robust Tests of Model Incompleteness in the Presence of Nuisance Parameters

EI seminar
Puzzle pieces on the floor almost connected to each other
Speaker
Hiroaki Kaido
Date
Thursday 12 Oct 2023, 12:00 - 13:00
Type
Seminar
Room
ET-18
Building
E Building
Location
Campus Woudestein
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Puzzle pieces on the floor almost connected to each other

Economic models may exhibit incompleteness depending on whether or not they admit certain policy-relevant features such as strategic interaction, self-selection, or state dependence.

(With Shuowen Chen)

We develop a novel test of model incompleteness and analyze its asymptotic properties. A key observation is that one can define a least-favorable parametric model along which detecting local alternatives without knowing the selection mechanism is the hardest. The test builds on a score function constructed from such a model. The proposed procedure remains computationally tractable even in the presence of nuisance parameters because it suffices to estimate them only under the null hypothesis of model completeness.

We illustrate the test by applying it to a market entry model and a triangular model with a set-valued control function.

Registration

You can sign up for this seminar by sending an email to eb-secr@ese.eur.nl. The lunch will be provided (vegetarian option included).

Coordinators

More information

Do you want to know more about the event, contact the secretariat Econometrics at eb-secr@ese.eur.nl.

See also

ESE - Airplane

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