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Inference for functions of partially identified parameters in moment inequality models

Federico Bugni, Ivan Canay and Xiaoxia Shi ()

No CWP22/14, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal con fidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size uniformly over a large class of data distributions. The current literature describes only two other procedures that deliver uniform size control for this type of problem: projection-based and subsampling inference. Relative to projection-based procedures, our method presents three advantages: (i) it weakly dominates in terms of fi nite sample power, (ii) it strictly dominates in terms of asymptotic power, and (iii) it is typically less computationally demanding. Relative to subsampling, our method presents two advantages: (i) it strictly dominates in terms of asymptotic power (for reasonable choices of subsample size), and (ii) it appears to be less sensitive to the choice of its tuning parameter than subsampling is to the choice of subsample size.

Date: 2014-05-07
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Related works:
Working Paper: Inference for functions of partially identified parameters in moment inequality models (2015) Downloads
Working Paper: Inference for functions of partially identified parameters in moment inequality models (2014) Downloads
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