Testing Inequalities Linear in Nuisance Parameters

Gregory Fletcher Cox, Xiaoxia Shi and Yuya Shimizu

Papers from arXiv.org

Abstract: This paper proposes a new test for inequalities that are linear in possibly partially identified nuisance parameters. This type of hypothesis arises in a broad set of problems, including subvector inference for linear unconditional moment (in)equality models, specification testing of such models, and inference for parameters bounded by linear programs. The new test uses a two-step test statistic and a chi-squared critical value with data-dependent degrees of freedom that can be calculated by an elementary formula. Its simple structure and tuning-parameter-free implementation make it attractive for practical use. We establish uniform asymptotic validity of the test, demonstrate its finite-sample size and power in simulations, and illustrate its use in an empirical application that analyzes women's labor supply in response to a welfare policy reform.

Date: 2025-10
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