Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection By

Supplement to “INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES USING GENERALIZED MOMENT SELECTION” BY

Supplement to “INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES USING GENERALIZED MOMENT SELECTION” BY DONALD

Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are shown to have correct asymptotic size in a uniform sense and are shown not to be asymptotically conserva...

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...

Inference 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 ...