IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v25y2009i03p669-709_09.html

Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities

Author

Listed:
  • Andrews, Donald W.K.
  • Guggenberger, Patrik

Abstract

This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and “plug-in asymptotic” tests and confidence intervals for such parameters. Establishing uniform asymptotic validity is crucial in moment inequality problems because the pointwise asymptotic distributions of the test statistics of interest have discontinuities as functions of the true distribution that generates the observations. The size results are quite general because they hold without specifying the particular form of the moment conditions—only 2 + δ moments finite are required. The results allow for independent and identically distributed (i.i.d.) and dependent observations and for preliminary consistent estimation of identified parameters.

Suggested Citation

  • Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(3), pages 669-709, June.
    • Handle: RePEc:cup:etheor:v:25:y:2009:i:03:p:669-709_09
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466608090257/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    JEL classification:

    • 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

    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:cup:etheor:v:25:y:2009:i:03:p:669-709_09. 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: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    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.