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
Supplemental material