Calibrated Projection in MATLAB
Kaido, Hiroaki; Molinari, Francesca; Stoye, Joerg; Thirkettle, Matthew
We present the calibrated-projection MATLAB package implementing the method to construct confidence intervals proposed by Kaido, Molinari, and Stoye (2019). This manual provides details on how to use the package for inference on projections of partially identified parameters and instructions on how to replicate the empirical application and simulation results in the paper. The version of this code included in this ZIP file is what was used to carry out the empirical application in Section 4 of Kaido et al. (2019) and the Monte Carlo simulations in Appendix C. Please visit https://molinari.economics.cornell.edu/programs.html for the most up-to-date version of the code.
This code is shared under a MIT license. Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
We gratefully acknowledge financial support through NSF Grants SES-1230071 and SES-1824344 (Kaido), SES-0922330 and SES-1824375 (Molinari), and SES-1260980 and SES-1824375 (Stoye).
Partial identification; Inference on projections; Moment inequalities; Uniform inference
Kaido, H., F. Molinari, and J. Stoye (2019): "Confidence Intervals for Projections of Partially Identified Parameters" Econometrica, 87 (4): 1397-1432. https://doi.org/10.3982/ECTA14075
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