Supplement to "Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models"

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.

Supplemental Authors: 
Federico A. Bugni, Ivan A. Canay, and Patrik Guggenberger