Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
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Author(s)
Andrews, Donald W. K.
Barwick, Panle Jia
Date Issued
November 2012
Journal
Econometrica
Publisher
Econometric Society
Citation
Donald W. K. Andrews, Panle Jia Barwick. “Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure.” Econometrica 80.6 (2012): 2805–2826.
Version
Author's final manuscript
Abstract
This paper is concerned with tests and confi dence intervals for parameters that are
not necessarily identifi ed and are de fined 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.
MIT Department
Massachusetts Institute of Technology. Department of Economics
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Creative Commons Attribution-Noncommercial-Share Alike 3.0
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DOI of Published Version
http://dx.doi.org/10.3982/ECTA8166
https://doi.org/10.3982/ECTA8166
