Specification tests for partially identified models defined by moment inequalities

Federico Bugni, Ivan Canay and Xiaoxia Shi

Journal of Econometrics, 2015, vol. 185, issue 1, 259-282

Abstract: This paper studies the problem of specification testing in partially identified models defined by moment (in)equalities. This problem has not been directly addressed in the literature, although several papers have suggested a test based on checking whether confidence sets for the parameters of interest are empty or not, referred to as Test BP. We propose two new specification tests, denoted Test RS and Test RC, that achieve uniform asymptotic size control and dominate Test BP in terms of power in any finite sample and in the asymptotic limit.

Keywords: Partial identification; Moment inequalities; Specification tests; Hypothesis testing (search for similar items in EconPapers)
JEL-codes: C01 C12 C15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

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Working Paper: Specification tests for partially identified models defined by moment inequalities (2014)
Working Paper: Specification tests for partially identified models defined by moment inequalities (2013)
Working Paper: Specification tests for partially identified models defined by moment inequalities (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:185:y:2015:i:1:p:259-282

DOI: 10.1016/j.jeconom.2014.10.013

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