The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jan, 2014, Volume 82, Issue 1
https://doi.org/10.3982/ECTA9748
p. 345-385
Susanne M. Schennach
This paper introduces a general method to convert a model defined by moment conditions that involve both observed and unobserved variables into equivalent moment conditions that involve only observable variables. This task can be accomplished without introducing infinite‐dimensional nuisance parameters using a least favorable entropy‐maximizing distribution. We demonstrate, through examples and simulations, that this approach covers a wide class of latent variables models, including some game‐theoretic models and models with limited dependent variables, interval‐valued data, errors‐in‐variables, or combinations thereof. Both point‐ and set‐identified models are transparently covered. In the latter case, the method also complements the recent literature on generic set‐inference methods by providing the moment conditions needed to construct a generalized method of moments‐type objective function for a wide class of models. Extensions of the method that cover conditional moments, independence restrictions, and some state‐space models are also given.
This supplement includes (i) proofs omitted from the main text, (ii) additional simulation examples, (iii) an extended notion of the identified set, (iv) difficulties associated with the use of alternative discrepancies, (v) inference methods, (vi) computational details of the implementation of the method in the paper, (vii) relationships with earlier information-theoretic and entropy-based methods.
This zip file contains the replication files for the manuscript.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
