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

Authors

Donald W.K. Andrews
Panle Jai Barwick

Document Type

Discussion Paper

Publication Date

9-1-2008

CFDP Number

1676R

CFDP Revision Date

2011-08-01

CFDP Pages

26

Abstract

This paper is concerned with tests and confidence intervals for parameters that are not necessarily 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 method, and implementation method. We provide data-dependent procedures for choosing the key moment selection tuning parameter kappa and a size-correction factor eta.

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. 1990.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1990