IDEAS home Printed from https://ideas.repec.org/p/sin/wpaper/13-a004.html
   My bibliography  Save this paper

Model Selection Tests for Conditional Moment Inequality Models

Author

Listed:

Abstract

In this paper, we propose a Vuong (1989)-type model selection test for conditional moment inequality models. The test uses a new average generalized empirical likelihood (AGEL) criterion function designed to incorporate full restriction of the conditional model. We also introduce a new adjustment to the test statistic making it asymptotically pivotal whether the candidate models are nested or nonnested. The test uses simple standard normal critical value and is shown to be asymptotically similar, to be consistent against all fixed alternatives and to have nontrivial power against n-1/2-local alternatives. Monte Carlo simulations demonstrate that the finite sample performance of the test is in accordance with the theoretical prediction.

Suggested Citation

  • Yu-Chin Hsu & Xiaoxia Shi, 2013. "Model Selection Tests for Conditional Moment Inequality Models," IEAS Working Paper : academic research 13-A004, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    • Handle: RePEc:sin:wpaper:13-a004
    as

    Download full text from publisher

    File URL: https://www.econ.sinica.edu.tw/~econ/pdfPaper/13-A004.pdf
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Susanne M. Schennach & Daniel Wilhelm, 2017. "A Simple Parametric Model Selection Test," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1663-1674, October.
    2. Shi, Xiaoxia, 2015. "Model selection tests for moment inequality models," Journal of Econometrics, Elsevier, vol. 187(1), pages 1-17.

    More about this item

    Keywords

    Asymptotic size; Model selection test; Conditional moment inequalities; Partial identi- cation; Generalized empirical likelihood;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sin:wpaper:13-a004. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: HsiaoyunLiu (email available below). General contact details of provider: https://edirc.repec.org/data/sinictw.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.