Econometrica: Jan 2010, Volume 78, Issue 1

Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

https://doi.org/10.3982/ECTA7502
p. 119-157

Donald W. K. Andrews, Gustavo Soares

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 conservative.
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Supplement to "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection"

This supplement contains proofs for the manuscript.

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Supplement to "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection"

The GAUSS code used to compute the simulation results reported in Andrews and Soares (2010)

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