| Summary: | 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.
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