Central moment inequalities using Stein’s method

Moment inequalities and central limit properties of isotropic convex bodies

Abstract The object of our investigations are isotropic convex bodies , centred at the origin and normed to volume one, in arbitrary dimensions. We show that a certain subset of these bodies—specified by bounds on the second and fourth moments—is invariant under forming ‘expanded joins’. Considering a body as above as a probability space and taking , we define random variables on . It is known ...

To “ a Practical Two - Step Method for Testing Moment Inequalities

for some prespecified value of α ∈ (0 1) rather than (3). In Section S.1.1 below, we first establish an upper bound on the power function of any test of (S.1) that satisfies (S.3) by deriving the most powerful test against any fixed alternative. We then describe our two-step procedure for testing (S.1) in Section S.1.2. Proofs of all results can be found in the Supplement Appendix. Before proce...

Moment - Entropy Inequalities

Moment Inequalities and Their Application

This paper provides conditions under which the inequality constraints generated by either single agent optimizing behavior, or by the Nash equilibria of multiple agent problems, can be used as a basis for estimation and inference. We also add to the econometric literature on inference in models defined by inequality constraints by providing a new specification test and methods of inference for ...

Alternative models for moment inequalities

Behavioral choice models generate inequalities which, when combined with additional assumptions, can be used as a basis for estimation. This paper considers two sets of such assumptions and uses them in two empirical examples. The second example examines the structure of payments resulting from the upstream interactions in a vertical market. We then mimic the empirical setting for this example ...