Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
Donald W. K. Andrews
Yale University - Cowles Foundation
Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER)
September 29, 2008
Cowles Foundation Discussion Paper No. 1676
This paper is concerned with tests and confidence intervals for partially-identified parameters that are defined by moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation methods (i.e., asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare a wide variety of these methods. We provide a recommended test statistic, moment selection critical value method, and implementation method. In addition, we provide a data-dependent procedure for choosing the key moment selection tuning parameter and a data-dependent size-correction factor.
Number of Pages in PDF File: 82
Keywords: Asymptotic size, Asymptotic power, Confidence set, Exact size, Generalized moment selection, Moment inequalities, Partial identification, Refined moment selection, Test
JEL Classification: C12, C15working papers series
Date posted: October 1, 2008 ; Last revised: August 5, 2011
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