Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

82 Pages Posted: 1 Oct 2008 Last revised: 5 Aug 2011

See all articles by Donald W. K. Andrews

Donald W. K. Andrews

Yale University - Cowles Foundation

Panle Jia

Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: September 29, 2008

Abstract

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.

Keywords: Asymptotic size, Asymptotic power, Confidence set, Exact size, Generalized moment selection, Moment inequalities, Partial identification, Refined moment selection, Test

JEL Classification: C12, C15

Suggested Citation

Andrews, Donald W. K. and Jia, Panle, Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure (September 29, 2008). Cowles Foundation Discussion Paper No. 1676, Available at SSRN: https://ssrn.com/abstract=1275346

Donald W. K. Andrews (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3698 (Phone)
203-432-6167 (Fax)

Panle Jia

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

77 Massachusetts Avenue
E52-391
Cambridge, MA 02139-4307
United States

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

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