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Specification testing under moment inequalities

Patrik Guggenberger, Jinyong Hahn and Kyoo il Kim ()

Economics Letters, 2008, vol. 99, issue 2, 375-378

Abstract: We provide a specification test for moment inequalities based on a dual characterization of the moment inequalities. For linear moment inequalities, the test is the asymptotic version of the multi-dimensional linear one-sided tests. For nonlinear moment inequalities, the implementation of the test is not practical because the dual characterization takes the form of a multi-dimensional nonlinear one-sided hypothesis.

Date: 2008
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:2:p:375-378