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

Donald Andrews (donald.andrews@yale.edu) and Panle Jia
Additional contact information
Panle Jia: MIT
Authors registered in the RePEc Author Service: Panle Jia Barwick (pbarwick@wisc.edu)

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

Abstract: This paper is concerned with tests and confidence intervals for parameters that are not necessarily identified and are defined by moment inequalities. In the literature, different test statistics, critical value methods, and implementation methods (i.e., the asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare these methods. We provide a recommended test statistic, moment selection critical value method, and implementation method. We provide data-dependent procedures for choosing the key moment selection tuning parameter kappa and a size-correction factor eta.

Keywords: Asymptotic size; Asymptotic power; Bootstrap; Confidence set; Generalized moment selection; Moment inequalities; Partial identification; Refined moment selection; Test; Unidentified parameter (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 109 pages
Date: 2008-09, Revised 2011-08
Note: Includes supplemental material
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Econometrics (November 2012), 80(6): 2805-2826

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Related works:
Journal Article: Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure (2012)
Working Paper: Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure (2008)
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