EconPapers    
Economics at your fingertips  
 

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 (9) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407614002577
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Specification tests for partially identified models defined by moment inequalities (2014) Downloads
Working Paper: Specification tests for partially identified models defined by moment inequalities (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:185:y:2015:i:1:p:259-282

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-09-18
Handle: RePEc:eee:econom:v:185:y:2015:i:1:p:259-282