Title

Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

Document Type

Discussion Paper

Publication Date

9-1-2008

CFDP Number

1676

CFDP Pages

81

Abstract

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 recommended test statistic, moment selection critical value method, and implementation method. In addition, we provide a data-dependent procedure for choosing the key moment selection tuning parameter and a data-dependent size-correction factor.

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