Validity of Subsampling and ‘Plug-in Asymptotic’ Inference for Parameters Defined by Moment Inequalities
This paper considers inference for parameters deﬁned by moment inequalities and equalities. The parameters need not be identiﬁed. For a speciﬁed class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and “plug-in asymptotic” tests and conﬁdence intervals for such parameters. Establishing uniform asymptotic validity is crucial in moment inequality problems because the test statistics of interest have discontinuities in their pointwise asymptotic distributions. The size results are quite general because they hold without specifying the particular form of the moment conditions — only 2 + δ moments ﬁnite are required. The results allow for i.i.d. and dependent observations and for preliminary consistent estimation of identiﬁed parameters.
Andrews, Donald W.K. and Guggenberger, Patrik, "Validity of Subsampling and ‘Plug-in Asymptotic’ Inference for Parameters Defined by Moment Inequalities" (2007). Cowles Foundation Discussion Papers. 1917.