Inference based on many conditional moment inequalities

Donald Andrews () and Xiaoxia Shi

Journal of Econometrics, 2017, vol. 196, issue 2, 275-287

Abstract: We construct confidence sets for models defined by many conditional moment inequalities/equalities. The number of conditional moment restrictions can be up to infinitely many. To deal with the vast number of moment restrictions, we exploit the manageability (Pollard (1990)) of the class of moment functions. We verify this condition in five examples from the recent partial identification literature.

Keywords: Asymptotic size; Asymptotic power; Conditional moment inequalities; Confidence set; Cramér–von Mises; Kolmogorov–Smirnov; Moment inequalities (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Related works:
Working Paper: Inference Based on Many Conditional Moment Inequalities (2016)
Working Paper: Inference Based on Many Conditional Moment Inequalities (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:196:y:2017:i:2:p:275-287

DOI: 10.1016/j.jeconom.2016.09.010

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