Advanced Search
MyIDEAS: Login to save this paper or follow this series

Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

Contents:

Author Info

Abstract

This paper is concerned with tests and confidence intervals for partially-identified parameters that are defined by moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation methods (i.e., asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare a wide variety of these methods. We provide a recommended test statistic, moment selection critical value method, and implementation method. In addition, we provide a data-dependent procedure for choosing the key moment selection tuning parameter and a data-dependent size-correction factor.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://cowles.econ.yale.edu/P/cd/d16b/d1676.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1676.

as in new window
Length: 81 pages
Date of creation: Sep 2008
Date of revision:
Handle: RePEc:cwl:cwldpp:1676

Contact 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

Related research

Keywords: Asymptotic size; Asymptotic power; Confidence set; Exact size; Generalized moment selection; Moment inequalities; Partial identification; Refined moment selection; Test;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Guido Imbens & Charles F. Manski, 2003. "Confidence intervals for partially identified parameters," CeMMAP working papers CWP09/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Joseph P. Romano & Azeem M. Shaikh, 2010. "Inference for the Identified Set in Partially Identified Econometric Models," Econometrica, Econometric Society, vol. 78(1), pages 169-211, 01.
  3. Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H., 2008. "Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments," Journal of Econometrics, Elsevier, vol. 146(2), pages 241-254, October.
  4. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1620, Cowles Foundation for Research in Economics, Yale University.
  5. Jorg Stoye, 2009. "More on Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 77(4), pages 1299-1315, 07.
  6. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, vol. 146(1), pages 107-117, September.
  7. Charles F. Manski & Elie Tamer, 2002. "Inference on Regressions with Interval Data on a Regressor or Outcome," Econometrica, Econometric Society, vol. 70(2), pages 519-546, March.
  8. Hyungsik Roger Moon & Frank Schorfheide, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," IEPR Working Papers 06.56, Institute of Economic Policy Research (IEPR).
  9. Christian Bontemps & Thierry Magnac & Eric Maurin, 2011. "Set identified linear models," CeMMAP working papers CWP13/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  10. Beresteanu, Arie & Molinari, Francesca, 2006. "Asymptotic Properties for a Class of Partially Identified Models," Working Papers 06-07, Cornell University, Center for Analytic Economics.
  11. Canay, Ivan A., 2010. "EL inference for partially identified models: Large deviations optimality and bootstrap validity," Journal of Econometrics, Elsevier, vol. 156(2), pages 408-425, June.
  12. Donald W. K. Andrews, 1999. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 67(3), pages 543-564, May.
  13. Galichon, Alfred & Henry, Marc, 2009. "A test of non-identifying restrictions and confidence regions for partially identified parameters," Journal of Econometrics, Elsevier, vol. 152(2), pages 186-196, October.
  14. 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 for Research in Economics, Yale University.
  15. Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
  16. Donald W.K. Andrews & Gustavo Soares, 2007. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Cowles Foundation Discussion Papers 1631, Cowles Foundation for Research in Economics, Yale University.
  17. Ciliberto, Federico & Tamer, Elie, 2009. "Market structure and multiple equilibria in airline markets," MPRA Paper 38635, University Library of Munich, Germany.
  18. Matyas,Laszlo (ed.), 1999. "Generalized Method of Moments Estimation," Cambridge Books, Cambridge University Press, number 9780521660136.
  19. Arie Beresteanu & Ilya Molchanov & Francesca Molinari, 2008. "Sharp identification regions in games," CeMMAP working papers CWP15/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  20. Matyas,Laszlo (ed.), 1999. "Generalized Method of Moments Estimation," Cambridge Books, Cambridge University Press, number 9780521669672.
  21. Guggenberger, Patrik & Hahn, Jinyong & Kim, Kyooil, 2008. "Specification testing under moment inequalities," Economics Letters, Elsevier, vol. 99(2), pages 375-378, May.
  22. Victor Chernozhukov & Han Hong & Elie Tamer, 2007. "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, Econometric Society, vol. 75(5), pages 1243-1284, 09.
  23. Federico A. Bugni, 2010. "Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set," Econometrica, Econometric Society, vol. 78(2), pages 735-753, 03.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1676. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.