Document Type
Discussion Paper
Publication Date
12-1-2011
CFDP Number
1840R
CFDP Revision Date
2013-02-01
CFDP Pages
44
Abstract
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is established. The false coverage probabilities and power of the CS’s and tests are established for fixed alternatives and some local alternatives. Finite-sample simulation results are given for a nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test uses a Cramér-von-Mises-type test statistic and employs a generalized moment selection critical value.
Recommended Citation
Andrews, Donald W.K. and Shi, Xiaoxia, "Nonparametric Inference Based on Conditional Moment Inequalities" (2011). Cowles Foundation Discussion Papers. 2198.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2198
Supplemental material
Comments
Supplement Materials, 57 pp