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

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.

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)