Inference for functions of partially identified parameters in moment inequality models

Federico Bugni, Ivan Canay and Xiaoxia Shi

No CWP05/14, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper introduces a new hypothesis test for the null hypothesis H0 : f(?) = y0, where f(.) is a known function, y0 is a known constant, and ? is a parameter that is partially identi ed by a moment (in)equality model. The main application of our test is sub-vector inference in moment inequality models, that is, for a multidimensional ?, the function f(?) = ?k selects the kth coordinate of ?. Our test controls asymptotic size uniformly over a large class of distributions of the data and has better asymptotic power properties than currently available methods. In particular, we show that the new test has asymptotic power that dominates the one corresponding to two existing competitors in the literature: subsampling and projection-based tests.

Date: 2014-01-27
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (22)

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Related works:
Working Paper: Inference for functions of partially identified parameters in moment inequality models (2015)
Working Paper: Inference for functions of partially identified parameters in moment inequality models (2015)
Working Paper: Inference for functions of partially identified parameters in moment inequality models (2014)
Working Paper: Inference for functions of partially identified parameters in moment inequality models (2014)
Working Paper: Inference for functions of partially identified parameters in moment inequality models (2014)
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