Testing moment inequalities: Selection versus recentering

Roy Allen

Economics Letters, 2018, vol. 162, issue C, 124-126

Abstract: This paper provides a finite-sample comparison of two existing tests of moment inequalities. We show the “two-step” recentering approach of Romano et al. (2014) rejects whenever a moment selection approach of Chernozukov et al. (2014) rejects.

Keywords: Moment inequalities; Moment selection; Partial identification (search for similar items in EconPapers)
JEL-codes: C12 C14 C18 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:162:y:2018:i:c:p:124-126

DOI: 10.1016/j.econlet.2017.11.006

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