EconPapers    
Economics at your fingertips  
 

Nonparametric Inference Based on Conditional Moment Inequalities

Donald Andrews () and Xiaoxia Shi ()

No 1840R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is established. The false coverage probabilities and power of the CS's and tests are established for fixed alternatives and some local alternatives. Finite-sample simulation results are given for a nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test uses a Cramer-von-Mises-type test statistic and employs a generalized moment selection critical value.

Keywords: Asymptotic size; Kernel; Local power; Moment inequalities; Nonparametric inference; Partial identification (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2011-12, Revised 2013-02
References: View complete reference list from CitEc
Citations: View citations in EconPapers (57) Track citations by RSS feed

Downloads: (external link)
http://cowles.yale.edu/sites/default/files/files/pub/d18/d1840-ra.pdf (application/pdf)

Related works:
Journal Article: Nonparametric inference based on conditional moment inequalities (2014) Downloads
Working Paper: Nonparametric Inference Based on Conditional Moment Inequalities (2013) Downloads
Working Paper: Nonparametric Inference Based on Conditional Moment Inequalities (2011) Downloads
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:cwl:cwldpp:1840r

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Matthew Regan ().

 
Page updated 2019-04-20
Handle: RePEc:cwl:cwldpp:1840r