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Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

Donald Andrews () and Panle Jia
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Panle Jia: MIT

Authors registered in the RePEc Author Service: Panle Jia Barwick ()

No 1676, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper is concerned with tests and confidence intervals for partially-identified parameters that are defined by moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation methods (i.e., asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare a wide variety of these methods. We provide a recommended test statistic, moment selection critical value method, and implementation method. In addition, we provide a data-dependent procedure for choosing the key moment selection tuning parameter and a data-dependent size-correction factor.

Keywords: Asymptotic size; Asymptotic power; Confidence set; Exact size; Generalized moment selection; Moment inequalities; Partial identification; Refined moment selection; Test (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 81 pages
Date: 2008-09
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure (2012) Downloads
Working Paper: Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure (2011) Downloads
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