INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES: A RECOMMENDED MOMENT SELECTION PROCEDURE By
نویسندگان
چکیده
The copyright to this Article is held by the Econometric Society. It may be downloaded, printed and reproduced only for educational or research purposes, including use in course packs. No downloading or copying may be done for any commercial purpose without the explicit permission of the Econometric Society. For such commercial purposes contact the Office of the Econometric Society (contact information may be found at the website http://www.econometricsociety.org or in the back cover of Econometrica). This statement must be included on all copies of this Article that are made available electronically or in any other format. 1 This paper is concerned with tests and confidence intervals for parameters that are not necessarily point 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, and implementation method. We provide data-dependent procedures for choosing the key moment selection tuning parameter κ and a size-correction factor η.
منابع مشابه
Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
This paper is concerned with tests and confidence intervals for partially-identified parameters that are defined by moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation methods (i.e., asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare a wide variety of these methods. We provide a rec...
متن کاملInference for Parameters Defined by Moment Inequalities: a Recommended Moment Selection Procedure by Donald
This paper is concerned with tests and confidence intervals for parameters that are not necessarily point 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 ...
متن کاملSupplemental Material to Inference for Parameters Defined by Moment Inequalities : A Recommended Moment Selection Procedure
Berry for numerous discussions and comments and the co-editor and three referees for comments.
متن کاملSupplemental Material to Inference for Parameters Dened by Moment Inequalities: A Recommended Moment Selection Procedure
متن کامل
Inference for Parameters Dened by Moment Inequalities: A Recommended Moment Selection Procedure
This paper is concerned with tests and con dence intervals for parameters that are not necessarily identi ed and are de ned by moment inequalities. In the literature, di¤erent 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 stati...
متن کامل