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Inference for Linear Conditional Moment Inequalities

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  • Isaiah Andrews
  • Jonathan Roth
  • Ariel Pakes

Abstract

We show that moment inequalities in a wide variety of economic applications have a particular linear conditional structure. We use this structure to construct uniformly valid confidence sets that remain computationally tractable even in settings with nuisance parameters. We first introduce least favorable critical values which deliver non-conservative tests if all moments are binding. Next, we introduce a novel conditional inference approach which ensures a strong form of insensitivity to slack moments. Our recommended approach is a hybrid technique which combines desirable aspects of the least favorable and conditional methods. The hybrid approach performs well in simulations calibrated to Wollmann (2018), with favorable power and computational time comparisons relative to existing alternatives.

Suggested Citation

  • Isaiah Andrews & Jonathan Roth & Ariel Pakes, 2019. "Inference for Linear Conditional Moment Inequalities," NBER Working Papers 26374, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:26374
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    Cited by:

    1. Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP31/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Roth, Jonathan & Sant’Anna, Pedro H.C. & Bilinski, Alyssa & Poe, John, 2023. "What’s trending in difference-in-differences? A synthesis of the recent econometrics literature," Journal of Econometrics, Elsevier, vol. 235(2), pages 2218-2244.
    3. Hsieh, Yu-Wei & Shi, Xiaoxia & Shum, Matthew, 2022. "Inference on estimators defined by mathematical programming," Journal of Econometrics, Elsevier, vol. 226(2), pages 248-268.
    4. Evan K. Rose & Yotam Shem-Tov, 2021. "On Recoding Ordered Treatments as Binary Indicators," Papers 2111.12258, arXiv.org, revised Mar 2024.
    5. Shuowen Chen & Hiroaki Kaido, 2022. "Robust Tests of Model Incompleteness in the Presence of Nuisance Parameters," Papers 2208.11281, arXiv.org, revised Sep 2023.
    6. Lujie Zhou, 2024. "Efficient Computation of Confidence Sets Using Classification on Equidistributed Grids," Papers 2401.01804, arXiv.org.

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    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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