EconPapers    
Economics at your fingertips  
 

Specification tests for partially identified models defined by moment inequalities

Federico Bugni, Ivan Canay and Xiaoxia Shi

No CWP19/14, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper studies the problem of specifi cation testing in partially identi fied models defi ned by a fi nite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satis fies all of the moment (in)equalities whereas under the alternative hypothesis there is no such parameter value. This problem has not been directly addressed in the literature (except in particular cases), although several papers have suggested a test based on checking whether con fidence sets for the parameters of interest are empty or not, referred to as Test BP. We propose two new speci fication tests, denoted Tests RS and RC, that achieve uniform asymptotic size control and dominate Test BP in terms of power in any finite sample and in the asymptotic limit. Test RC is particularly convenient to implement because it requires little additional work beyond the con fidence set construction. Test RS requires a separate procedure to compute, but has the best power. The separate procedure is computationally easier than confi dence set construction in typical cases.

Date: 2014-04-10
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)
http://www.cemmap.ac.uk/wps/cwp191414.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Specification tests for partially identified models defined by moment inequalities (2015) Downloads
Working Paper: Specification tests for partially identified models defined by moment inequalities (2013) Downloads
Working Paper: Specification tests for partially identified models defined by moment inequalities (2013) 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:ifs:cemmap:19/14

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2025-03-31
Handle: RePEc:ifs:cemmap:19/14