Inference for Linear Conditional Moment Inequalities

Abstract We show that moment inequalities in a wide variety of economic applications have particular linear conditional structure. use this structure to construct uniformly valid confidence sets remain computationally tractable even settings with nuisance parameters. first introduce least-favorable critical values which deliver non-conservative tests if all moments are binding. Next, we novel inference approach ensures strong form insensitivity slack moments. Our recommended is hybrid technique combines desirable aspects the least favorable and methods. The performs well simulations calibrated Wollmann (2018, American Economic Review, 108, 1364–1406), power computational time comparisons relative existing alternatives.