On the Choice of Test Statistic for Conditional Moment Inequalities
نویسندگان
چکیده
منابع مشابه
On the Choice of Test Statistic for Conditional Moment Inequalities
This paper derives asymptotic approximations to the power of Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting function and, for test...
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This supplementary appendix contains proofs of the results in the main text as well as auxiliary results. Section B contains auxiliary results used in the rest of this appendix. These results are restatements or simple extensions of well known results on uniform convergence, and do not constitute part of the main novel contribution of the paper. Section C of this appendix derives critical value...
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This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting function and, for tests based on ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2998804