Specification tests for partially identified models defined by moment inequalities

A SIMPLE TWO-STEP METHOD FOR TESTING MOMENT INEQUALITIES WITH AN APPLICATION TO INFERENCE IN PARTIALLY IDENTIFIED MODELS By

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A Bonferonni-type correction is used to account for the fact that with some probability the moments may not lie in...

A simple two-step method for testing moment inequalities with an application to inference in partially identified models

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A Bonferonni-type correction is used to account for the fact that with some probability the moments may not lie in...

INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES: A RECOMMENDED MOMENT SELECTION PROCEDURE By

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

Inference for Parameters Defined by Moment Inequalities: a Recommended Moment Selection Procedure by Donald

This paper is concerned with tests and confidence intervals for parameters that are not necessarily point identified and are defined 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 ...