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.Log In To View Full Content