Inference on Causal and Structural Parameters using Many Moment Inequalities

Inference Based on Many Conditional Moment Inequalities

In this paper, we construct confidence sets for models defined by many conditional moment inequalities/equalities. The conditional moment restrictions in the models can be finite, countably infinite, or uncountably infinite. To deal with the complication brought about by the vast number of moment restrictions, we exploit the manageability (Pollard (1990)) of the class of moment functions. We ve...

Supplement to “INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES USING GENERALIZED MOMENT SELECTION” BY

Supplement to “INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES USING GENERALIZED MOMENT SELECTION” BY DONALD

Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are shown to have correct asymptotic size in a uniform sense and are shown not to be asymptotically conserva...

Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection By

The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are shown to have correct asymptotic size in a uniform sense and are shown not to be asymptotically conserva...