Local linearization based subvector inference in moment inequality models

Xinyue Bei

Journal of Econometrics, 2024, vol. 238, issue 1

Abstract: This paper introduces a bootstrap-based profiling inference method for subvectors in moment inequality models following insights from Bugni et al. (2017). Compared to their paper, the new method calculates the critical value by searching over a local neighborhood of a pre-estimator, instead of the whole null parameter space, to profile out nuisance parameters. In this way, non-linear moment conditions are simplified by linear expansion and the bootstrap iterates over quadratic programming problems, which significantly simplifies and accelerates computation. This method controls asymptotic size uniformly over a large class of data generating processes. In the Monte Carlo simulations, the new procedure improves upon the computing time of Bugni et al. (2017) and Kaido et al. (2019) significantly. I provide an empirical illustration estimating an airline entry game.

Keywords: Partial identification; subvector inference; moment inequalities; hypothesis testing (search for similar items in EconPapers)
JEL-codes: C01 C12 C15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002658

DOI: 10.1016/j.jeconom.2023.105549

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