Proofs - Supplement to "Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models"
Federico A. Bugni, Ivan A. Canay, and Patrik Guggenberger
Description: This supplement contains the Lemmas and their proofs that are used in the proofs of Theorems 3.1 and 3.2 of the paper in Sections S1 and S2; the proof of Corollary 3.1 in Section S2; a missing data example and Monte Carlo simulations in Section S3; the verification of Assumptions A.6 and A.7 in two leading examples in Section S4; a discussion of the intuition behind Theorem 3.2 in Section S5; and details of the computations carried out in Table 1 in Section S6.
