VALIDITY OF SUBSAMPLING AND ?PLUG-IN ASYMPTOTIC? INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES

Donald W. K. Andrews () and Patrik Guggenberger

Econometric Theory, 2009, vol. 25, issue 03, pages 669-709

Abstract: This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and tests and confidence intervals for such parameters. Establishing uniform asymptotic validity is crucial in moment inequality problems because the pointwise asymptotic distributions of the test statistics of interest have discontinuities as functions of the true distribution that generates the observations.

Date: 2009
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Related works:
Working Paper: Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities (2007)
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