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

81 Pages Posted: 10 Jul 2019

See all articles by Donald W. K. Andrews

Donald W. K. Andrews

Yale University - Cowles Foundation

Panle Jia Barwick

Cornell University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: June 1, 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 κ and a data-dependent size-correction factor η.

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 Barwick, Panle Jia, Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure (June 1, 2008). Available at SSRN: https://ssrn.com/abstract=3417209 or http://dx.doi.org/10.2139/ssrn.3417209

Donald W. K. Andrews

Yale University - Cowles Foundation

Box 208281
New Haven, CT 06520-8281
United States

Panle Jia Barwick (Contact Author)

Cornell University - Department of Economics ( email )

414 Uris Hall
Ithaca, NY 14853-7601
United States

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