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"

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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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Econometrica: Jan 2010, Volume 78, Issue 1

Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

Supplemental Material

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

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