期刊名称：Discussion Paper Series / Department of Economics, New York University
出版年度：2006
卷号：1
出版社：New York University
摘要：We provide a test for the speci¯cation of a structural model without identifying
assumptions. We show the equivalence of several natural formulations of correct spec-
i¯cation, which we take as our null hypothesis. From a natural empirical version of
the latter, we derive a Kolmogorov-Smirnov statistic for Choquet capacity function-
als, which we use to construct our test. We derive the limiting distribution of our test
statistic under the null, and show that our test is consistent against certain classes of
alternatives. When the model is given in parametric form, the test can be inverted
to yield con¯dence regions for the identi¯ed parameter set. The approach can be
applied to the estimation of models with sample selection, censored observables and
to games with multiple equilibria.
关键词：partial identi¯cation, speci¯cation test, random correspondences, Core, selections, plausibility constraint, Monge-
Kantorovich mass transportation problem, Kolmogorov-Smirnov test for capacity functionals.
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