Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Nov, 2012, Volume 80, Issue 6

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

https://doi.org/10.3982/ECTA8166
p. 2805-2826

Donald W. K. Andrews, Panle Jia Barwick

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 and a size‐correction factor .


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