Inference on Causal and Structural Parameters using Many Moment Inequalities
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1312.7614.pdf
Description
Submitted version
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748.55 KB
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Author(s)
Chernozhukov, Victor V
Chetverikov, Denis
Kato, Kengo
Date Issued
November 2018
Journal
Review of Economic Studies
Publisher
Oxford University Press
Citation
Chernozhukov, Victor et al. "Inference on causal and structural parameters using many moment inequalities." The Review of Economic Studies 86 (October 2019):1867–1900 © 2018 The Author(s)
Version
Original manuscript
Abstract
This article considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There is a variety of economic applications where solving this problem allows to carry out inference on causal and structural parameters; a notable example is the market structure model of Ciliberto and Tamer (2009) where p=2[superscript m+1] with m being the number of firms that could possibly enter the market. We consider the test statistic given by the maximum of p Studentized (or t-type) inequality-specific statistics, and analyse various ways to compute critical values for the test statistic. Specifically, we consider critical values based upon (1) the union bound combined with a moderate deviation inequality for self-normalized sums, (2) the multiplier and empirical bootstraps, and (3) two-step and three-step variants of (1) and (2) by incorporating the selection of uninformative inequalities that are far from being binding and a novel selection of weakly informative inequalities that are potentially binding but do not provide first-order information. We prove validity of these methods, showing that under mild conditions, they lead to tests with the error in size decreasing polynomially in n while allowing for p being much larger than n; indeed p can be of order exp (n[superscript c]) for some c greater than 0. Importantly, all these results hold without any restriction on the correlation structure between p Studentized statistics, and also hold uniformly with respect to suitably large classes of underlying distributions. Moreover, in the online supplement, we show validity of a test based on the block multiplier bootstrap in the case of dependent data under some general mixing conditions. Keywords: many moment inequalities; moderate deviation; multiplierandempirical bootstrap; non-asymptotic bound; self-normalized sum
MIT Department
Massachusetts Institute of Technology. Department of Economics
Massachusetts Institute of Technology. Operations Research Center
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DOI of Published Version
https://doi.org/10.1093/restud/rdy065
