Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Home> Publications> Econometrica>Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

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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Supplemental Material

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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Econometric Society's Journals Welcome First Data Editor

At their 2022 August EC meeting, the Executive Committee of the Econometric Society decided to bring a Data Editor onto the editorial boards of Econometrica, Quantitative Economics and Theoretical Economics. The Society is excited to announce that Joan Llull and his established team will be starting July 1, 2023 as the Society’s first Data Editor. He will bring extensive experience having been Data Editor for the Royal Economic Society and their two journals, the Economic Journal and the Econometrics Journal.
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