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.
Recommended Citation
Andrews, Donald W.K. and Barwick, Panle Jai, "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure" (2008). Cowles Foundation Discussion Papers. 1989.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1989