Journal of Economic Literature (JEL) Code(s)
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.
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. 72.