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

109 Pages Posted: 1 Aug 2011

See all articles by Donald W. K. Andrews

Donald W. K. Andrews

Yale University - Cowles Foundation

Panle Jia

Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: August 1, 2011

Abstract

This paper is concerned with tests and confidence intervals for parameters that are not necessarily 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 method, and implementation method. We provide data-dependent procedures for choosing the key moment selection tuning parameter kappa and a size-correction factor eta.

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 Jia, Panle, Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure (August 1, 2011). Cowles Foundation Discussion Paper No. 1676R, Available at SSRN: https://ssrn.com/abstract=1899590 or http://dx.doi.org/10.2139/ssrn.1899590

Donald W. K. Andrews (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3698 (Phone)
203-432-6167 (Fax)

Panle Jia

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

77 Massachusetts Avenue
E52-391
Cambridge, MA 02139-4307
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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