Testing Moment Inequalities: Selection versus Recentering

10 Pages Posted: 24 Feb 2016 Last revised: 20 Nov 2017

See all articles by Roy Allen

Roy Allen

University of Western Ontario - Department of Economics

Date Written: October 31, 2017

Abstract

This paper provides a finite-sample comparison of two existing tests of moment inequalities and an improvement over one of the procedures. We show the “two-step” recentering approach of Romano, Shaikh, and Wolf [2014] rejects whenever a moment selection approach of Chernozukov, Chetverikov, and Kato [2014] rejects. Motivated by the computational appeal of moment selection, we show how to improve the power of the latter procedure by adding a correction factor to the moment selection threshold.

Keywords: Moment inequalities; moment selection; partial identification

JEL Classification: C12, C14, C18

Suggested Citation

Allen, Roy, Testing Moment Inequalities: Selection versus Recentering (October 31, 2017). Available at SSRN: https://ssrn.com/abstract=2736555 or http://dx.doi.org/10.2139/ssrn.2736555

Roy Allen (Contact Author)

University of Western Ontario - Department of Economics ( email )

Social Science Centre, Room 4071
London, Ontario N6A 5C2
Canada

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