Economics at your fingertips  

Inference in nonparametric/semiparametric moment equality models with shape restrictions

Yu Zhu

Quantitative Economics, 2020, vol. 11, issue 2, 609-636

Abstract: This paper studies the inference problem of an infinite‐dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which controls size uniformly and applies to both point‐identified and partially identified models. The test can be inverted to construct confidence sets after imposing the shape restriction. Monte Carlo experiments show the finite‐sample properties of this method. In an empirical illustration, I apply the method to ascending auctions held by the US Forest Service and show that imposing shape restrictions can significantly improve inference.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Quantitative Economics from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2021-05-12
Handle: RePEc:wly:quante:v:11:y:2020:i:2:p:609-636