Inference in partially identified models with many moment inequalities using Lasso

Federico Bugni, Mehmet Caner, Anders Kock and Soumendra Lahiri ()
Additional contact information
Soumendra Lahiri: North Carolina State University, Postal: NCSU Statistics Department, 2311 Stinson Drive, Campus Box 8203, Raleigh, NC 27695-8203, USA

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper considers the problem of inference in a partially identified moment (in)equality model with possibly many moment inequalities. Our contribution is to propose a novel two-step new inference method based on the combination of two ideas. On the one hand, our test statistic and critical values are based on those proposed by Chernozhukov et al. (2014c) (CCK14, hereafter). On the other hand, we propose a new first step selection procedure based on the Lasso. Some of the advantages of our two-step inference method are that (i) it can be used to conduct hypothesis tests and to construct confidence sets for the true parameter value that is uniformly valid, both in underlying parameter _ and distribution of the data; (ii) our test is asymptotically optimal in a minimax sense and (iii) our method has better power than CCK14 in large parts of the parameter space, both in theory and in simulations. Finally, we show that the Lasso-based first step can be implemented with a thresholding least squares procedure that makes it extremely simple to compute.

Keywords: Many moment inequalities; self-normalizing sum; multiplier bootstrap; empirical bootstrap; Lasso; inequality selection (search for similar items in EconPapers)
JEL-codes: C13 C23 C26 (search for similar items in EconPapers)
Pages: 55
Date: 2016-04-26
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/16/rp16_12.pdf (application/pdf)

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: https://EconPapers.repec.org/RePEc:aah:create:2016-12

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().