Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

Donald W. K. Andrews () and Panle Jia
Additional contact information
Panle Jia: MIT

No 1676, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: This paper is concerned with tests and confidence intervals for partially-identified parameters that are defined by moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation methods (i.e., asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare a wide variety of these methods. We provide a recommended test statistic, moment selection critical value method, and implementation method. In addition, we provide a data-dependent procedure for choosing the key moment selection tuning parameter and a data-dependent size-correction factor.

Keywords: Asymptotic size; Asymptotic power; Confidence set; Exact size; Generalized moment selection; Moment inequalities; Partial identification; Refined moment selection; Test (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2008-09
View list of references

Downloads: (external link)
http://cowles.econ.yale.edu/P/cd/d16b/d1676.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cwl:cwldpp:1676

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation, Yale University
Address: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Contact information at EDIRC.
Series data maintained by Glena Ames ().