Inference in Moment Inequality Models That Is Robust to Spurious Precision under Model Misspecification

Authors

Donald W.K. Andrews
Soonwoo Kwon

Document Type

Discussion Paper

Publication Date

7-1-2019

CFDP Number

2184R

CFDP Revision Date

October 1, 2019

CFDP Pages

43

Journal of Economic Literature (JEL) Code(s)

C10, C12

Abstract

Standard tests and confidence sets in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a pseudo-true parameter in such scenarios, and hence, do not suffer from spurious precision.

Comments

Supplement Materials, 86 pp

Recommended Citation

Andrews, Donald W.K. and Kwon, Soonwoo, "Inference in Moment Inequality Models That Is Robust to Spurious Precision under Model Misspecification" (2019). Cowles Foundation Discussion Papers. 71.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/71