Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Econometric Society
2012
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| Online Access: | http://hdl.handle.net/1721.1/73649 |
| _version_ | 1826196797929816064 |
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| author | Andrews, Donald W. K. Barwick, Panle Jia |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Andrews, Donald W. K. Barwick, Panle Jia |
| author_sort | Andrews, Donald W. K. |
| collection | MIT |
| description | 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. |
| first_indexed | 2024-09-23T10:38:10Z |
| format | Article |
| id | mit-1721.1/73649 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T10:38:10Z |
| publishDate | 2012 |
| publisher | Econometric Society |
| record_format | dspace |
| spelling | mit-1721.1/736492022-09-30T21:56:09Z Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure Andrews, Donald W. K. Barwick, Panle Jia Massachusetts Institute of Technology. Department of Economics Barwick, Panle Jia Barwick, Panle Jia 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. National Science Foundation (U.S.) (grant SES-0751517) 2012-10-05T14:38:20Z 2012-10-05T14:38:20Z 2012-11 2011-05 Article http://purl.org/eprint/type/JournalArticle 0012-9682 1468-0262 http://hdl.handle.net/1721.1/73649 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. en_US http://dx.doi.org/10.3982/ECTA8166 Econometrica Creative Commons Attribution-Noncommercial-Share Alike 3.0 http://creativecommons.org/licenses/by-nc-sa/3.0/ application/pdf Econometric Society MIT web domain |
| spellingShingle | Andrews, Donald W. K. Barwick, Panle Jia Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure |
| title | Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure |
| title_full | Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure |
| title_fullStr | Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure |
| title_full_unstemmed | Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure |
| title_short | Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure |
| title_sort | inference for parameters defined by moment inequalities a recommended moment selection procedure |
| url | http://hdl.handle.net/1721.1/73649 |
| work_keys_str_mv | AT andrewsdonaldwk inferenceforparametersdefinedbymomentinequalitiesarecommendedmomentselectionprocedure AT barwickpanlejia inferenceforparametersdefinedbymomentinequalitiesarecommendedmomentselectionprocedure |