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- W2186643261 abstract "Abstract We propose estimators of sharp bounds on the correlation coefficient between potential outcomes in the Gaussian switching regime model and develop an asymptotically uniformly valid and non-conservative confidence set for the true correlation coefficient. A boundary-interior-category selection procedure is proposed to deal with discontinuity of the pointwise asymptotic distribution of estimators of the sharp bounds. Our confidence set is easy to implement: it takes the form of a closed interval and its critical values have closed-form expressions. Simulation study reveals the better finite sample performance of our confidence set than the naive confidence set ignoring the discontinuity issue." @default.
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- W2186643261 date "2016-12-01" @default.
- W2186643261 modified "2023-09-26" @default.
- W2186643261 title "Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model" @default.
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- W2186643261 doi "https://doi.org/10.1016/j.jeconom.2016.09.003" @default.
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