Econometrica: Jan 2010, Volume 78, Issue 1
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
Donald W. K. Andrews, Gustavo SoaresThe 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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