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Model Selection Tests for Conditional Moment Inequality Models


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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.

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Paper provided by Institute of Economics, Academia Sinica, Taipei, Taiwan in its series IEAS Working Paper : academic research with number 13-A004.

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Length: 45 pages
Date of creation: May 2013
Date of revision:
Handle: RePEc:sin:wpaper:13-a004

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Keywords: Asymptotic size; Model selection test; Conditional moment inequalities; Partial identi- cation; Generalized empirical likelihood;

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