Model selection tests for moment inequality models

Xiaoxia Shi

Journal of Econometrics, 2015, vol. 187, issue 1, 1-17

Abstract: We propose Vuong-type tests to select between two moment inequality models based on their Kullback–Leibler distances to the true data distribution. The candidate models can be either non-overlapping or overlapping. For each case, we develop a testing procedure that has correct asymptotic size in a uniform sense despite the potential lack of point identification. We show both procedures are consistent against fixed alternatives and local alternatives converging to the null at rates arbitrarily close to n−1/2. We demonstrate the finite-sample performance of the tests with Monte Carlo simulation of a missing data example. The tests are relatively easy to implement.

Keywords: Asymptotic size; Kullback–Leibler divergence; Model selection test; Moment inequalities; Overlapping models; Partial identification (search for similar items in EconPapers)
JEL-codes: C12 C52 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:187:y:2015:i:1:p:1-17

DOI: 10.1016/j.jeconom.2015.01.004

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