Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are shown to have correct asymptotic size in a uniform sense and are shown not to be asymptotically conservative. Copyright 2010 The Econometric Society.
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Volume (Year): 78 (2010)
Issue (Month): 1 (01)
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- Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
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