Nonparametric Inference Based on Conditional Moment Inequalities
AbstractThis paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is established. The false coverage probabilities and power of the CS's and tests are established for fixed alternatives and some local alternatives. Finite-sample simulation results are given for a nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test uses a Cramer-von-Mises-type test statistic and employs a generalized moment selection critical value.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1840.
Length: 77 pages
Date of creation: Dec 2011
Date of revision:
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Donald W.K. Andrews & Xiaoxia Shi, 2011. "Nonparametric Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1840R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2013.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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- Ismael MOURIFIÃ‰, 2013. "Sharp Bounds On Treatment Effects In A Binary Triangular System," Working Papers tecipa-498, University of Toronto, Department of Economics.
- Sokbae 'Simon' Lee & Kyungchul Song & Yoon-Jae Whang, 2011.
"Testing functional inequalities,"
CeMMAP working papers
CWP12/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Donald W.K. Andrews & Xiaoxia Shi, 2011. "Nonparametric Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1840RR, Cowles Foundation for Research in Economics, Yale University, revised Oct 2013.
- Toru Kitagawa, 2013. "A bootstrap test for instrument validity in heterogeneous treatment effect models," CeMMAP working papers CWP53/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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