Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
Author(s)Andrews, Donald W. K.; Barwick, Panle Jia
MetadataShow full item record
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.
DepartmentMassachusetts Institute of Technology. Department of Economics
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.
Author's final manuscript