On statistics of random sets for partial identification of econometric structures

Abstract

In this paper, we emphasize and elaborate on two important and relatively new aspects in uncertainty analysis in order to increase the credibility of empirical results in statistics in general, and in econometrics in particular, namely, the problem of partial identification, and the use of random set statistics. We elaborate on the current interests in partially identified models, exemplified by econometric structures involving copulas. We spell out the rationale and the statistical methods based upon random set theory for analyzing partial identification problem towards credible econometrics.