Subvector inference in PI models with many moment inequalities

Alexandre Belloni, Federico Bugni and Victor Chernozhukov
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Alexandre Belloni: Institute for Fiscal Studies

No CWP28/19, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper considers inference for a function of a parameter vector in a partially identi?ed model with many moment inequalities. This framework allows the number of moment conditions to grow with the sample size, possibly at exponential rates. Our main motivating application is subvector inference, i.e., inference on a single component of the partially identi?ed parameter vector associated with a treatment e?ect or a policy variable of interest. Our inference method compares a MinMax test statistic (minimum over parameters satisfying H0 and maximum over moment inequalities) against critical values that are based on bootstrap approximations or analytical bounds. We show that this method controls asymptotic size uniformly over a large class of data generating processes despite the partially identi?ed many moment inequality setting. The ?nite sample analysis allows us to obtain explicit rates of convergence on the size control. Our results are based on combining non-asymptotic approximations and new high-dimensional central limit theorems for the MinMax of the components of random matrices, which may be of independent interest. Unlike the previous literature on functional inference in partially identi?ed models, our results do not rely on weak convergence results based on Donsker’s class assumptions and, in fact, our test statistic may not even converge in distribution. Our bootstrap approximation requires the choice of a tuning parameter sequence that can avoid the excessive concentration of our test statistic. To this end, we propose an asymptotically valid data-driven method to select this tuning parameter sequence. This method generalizes the selection of tuning parameter sequences to problems outside the Donsker’s class assumptions and may also be of independent interest. Our procedures based on self-normalized moderate deviation bounds are relatively more conservative but easier to implement.

Date: 2019-06-12
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