Testing Moment Inequalities: Selection versus Recentering
10 Pages Posted: 24 Feb 2016 Last revised: 20 Nov 2017
Date Written: October 31, 2017
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  rejects whenever a moment selection approach of Chernozukov, Chetverikov, and Kato  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: Suggested Citation