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

Posted: 23 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: November 1, 2012

Abstract

This paper is concerned with tests and confidence intervals for parameters that are not necessarily point identified and are defined by moment inequalities. In the literature, different test statistics, critical-value methods, and implementation methods (i.e., the asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare these methods. We provide a recommended test statistic, moment selection critical value, and implementation method.We provide data-dependent procedures for choosing the key moment selection tuning parameter κ and a size-correction factor η.

Keywords: asymptotic size, asymptotic power, bootstrap, confidence set, generalized moment selection, moment inequalities, partial identification, refined moment selection, test, unidentified parameter

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 (November 1, 2012). Econometrica, Vol. 80, No. 6. Available at SSRN: https://ssrn.com/abstract=3417211

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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