Stata Commands for Testing Conditional Moment Inequalities/Equalities

In this paper, we present two commands – cmi test and cmi interval – to implement the testing and inference methods for conditional moment inequalities/equalities models proposed in Andrews and Shi (2013). The command cmi test tests the validity of a finite number of conditional moment equalities and/or inequalities. This test returns the value of the test statistic, the critical values at significance levels 1%, 5%, and 10%, and the p-value. The command cmi interval returns the confidence interval for a one-dimensional parameter defined by intersection bounds. This confidence interval is obtained by inverting cmi test. All procedures implemented are uniformly asymptotically valid under appropriate conditions (specified in Andrews and Shi (2013)).