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Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities Author info | Abstract | Publisher info | Download info | Related research | Statistics Donald W.K. Andrews () (Cowles Foundation, Yale University )
Patrik Guggenberger (Dept. of Economics, UCLA)
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This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and "plug-in asymptotic" tests and confidence intervals for such parameters. Establishing uniform asymptotic validity is crucial in moment inequality problems because the test statistics of interest have discontinuities in their pointwise asymptotic distributions. The size results are quite general because they hold without specifying the particular form of the moment conditions -- only 2+delta moments finite are required. The results allow for i.i.d. and dependent observations and for preliminary consistent estimation of identified parameters.
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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number
1620.
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Length: 43 pages
Date of creation: Jul 2007Date of revision:
Handle: RePEc:cwl:cwldpp:1620Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA Phone: (203) 432-3702 Fax: (203) 432-6167 Web page: http://cowles.econ.yale.edu/ More information through EDIRC
Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
For technical questions regarding this item, or to correct its listing, contact: (Glena Ames).
Keywords: Asymptotic size ; Confidence set ; Exact size ; m out of n bootstrap ; Subsampling ; Moment inequalities ; Other versions of this item:
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
This paper has been announced in the following NEP Reports :
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Donald W.K. Andrews & Panle Jia, 2008.
"Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure ,"
Cowles Foundation Discussion Papers
1676, Cowles Foundation, Yale University.
[Downloadable!]
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