Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

Donald Andrews (donald.andrews@yale.edu) and Gustavo Soares

Econometrica, 2010, vol. 78, issue 1, 119-157

Abstract: The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are shown to have correct asymptotic size in a uniform sense and are shown not to be asymptotically conservative. Copyright 2010 The Econometric Society.

Date: 2010
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Working Paper: Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection (2007)
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