Set Estimation and Inference with Models Characterized by Conditional Moment Inequalities
نویسنده
چکیده
This paper studies set estimation and inference of models characterized by conditional moment inequalities. A consistent set estimator and a con dence set are provided in this paper. Previous studies on set estimation and inference with conditional moment inequalities typically use only a nite set of moment inequalities implied by the conditional moment inequalities. We consider an alternative strategy that preserves all the information from the conditional moment inequalities. Potentially, this will enable us to obtain a smaller set estimator and a tighter con dence region than those from other methods in the current literature, which lose some information by using only a subset of moment inequalties. Keywords: Set Estimation, Set Inference, Conditional Moment Inequalities, Incomplete Models, U-statistics JEL Classi cation: C13, C14
منابع مشابه
Inference on Randomly Censored Regression Models Using Conditional Moment Inequalities∗
Under a conditional quantile restriction, randomly censored regression models can be written in terms of conditional moment inequalities. We study the identified features of these moment inequalities with respect to the regression parameters. These inequalities restrict the parameters to a set. We then show regular point identification can be achieved under a set of interpretable sufficient con...
متن کاملInference 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...
متن کاملStata Commands for Testing Conditional Moment Inequalities/Equalities
In this paper, we present two commands – cmi test and cmi interval – to implement the testing and inference methods for conditional moment inequalities/equalities models proposed in Andrews and Shi (2013). The command cmi test tests the validity of a finite number of conditional moment equalities and/or inequalities. This test returns the value of the test statistic, the critical values at sign...
متن کاملNonparametric Inference Based on Conditional Moment Inequalities
This paper develops methods of inference for nonparametric and semiparametric parameters de ned by conditional moment inequalities and/or equalities. The parameters need not be identi ed. Con dence sets and tests are introduced. The correct uniform asymptotic size of these procedures is established. The false coverage probabilities and power of the CSs and tests are established for xed altern...
متن کاملEssays on Set Estimation and Inference with Moment Inequalities
This thesis explores power and consistency of estimation and inference procedures with moment inequalities, and applications of the moment inequality framework to estimation of frontiers in finance. In the first chapter, I consider estimation of the identified set and inference on a partially identified parameter when the number of moment inequalities is large relative to sample size. Many appl...
متن کامل