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Testing moment inequalities: Selection versus recentering

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  • Allen, Roy

Abstract

This paper provides a finite-sample comparison of two existing tests of moment inequalities. We show the “two-step” recentering approach of Romano et al. (2014) rejects whenever a moment selection approach of Chernozukov et al. (2014) rejects.

Suggested Citation

  • Allen, Roy, 2018. "Testing moment inequalities: Selection versus recentering," Economics Letters, Elsevier, vol. 162(C), pages 124-126.
    • Handle: RePEc:eee:ecolet:v:162:y:2018:i:c:p:124-126
    DOI: 10.1016/j.econlet.2017.11.006
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    References listed on IDEAS

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    1. Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2013. "Testing Many Moment Inequalities," CeMMAP working papers 65/13, Institute for Fiscal Studies.
    2. Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
    3. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2014. "A Practical Two‐Step Method for Testing Moment Inequalities," Econometrica, Econometric Society, vol. 82, pages 1979-2002, September.
    4. Donald W. K. Andrews & Gustavo Soares, 2010. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica, Econometric Society, vol. 78(1), pages 119-157, January.
    5. Federico A. Bugni & Mehmet Caner & Anders Bredahl Kock & Soumendra Lahiri, 2016. "Inference in partially identified models with many moment inequalities using Lasso," CREATES Research Papers 2016-12, Department of Economics and Business Economics, Aarhus University.
    6. Donald W. K. Andrews & Panle Jia Barwick, 2012. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Econometrica, Econometric Society, vol. 80(6), pages 2805-2826, November.
    7. Jorg Stoye, 2009. "More on Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 77(4), pages 1299-1315, July.
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    Citations

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    Cited by:

    1. Andreas Dzemski & Ryo Okui, 2024. "Confidence set for group membership," Quantitative Economics, Econometric Society, vol. 15(2), pages 245-277, May.
    2. Evan K. Rose & Yotam Shem-Tov, 2021. "On Recoding Ordered Treatments as Binary Indicators," Papers 2111.12258, arXiv.org, revised Mar 2024.
    3. Nick Koning & Paul Bekker, 2019. "Exact Testing of Many Moment Inequalities Against Multiple Violations," Papers 1904.12775, arXiv.org, revised Jun 2020.
    4. Yanchun Jin & Ryo Okui, 2020. "Testing for overconfidence statistically: A moment inequality approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 879-892, November.
    5. Dzemski, Andreas & Okui, Ryo, 2018. "Confidence Set for Group Membership," Working Papers in Economics 727, University of Gothenburg, Department of Economics.

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    More about this item

    Keywords

    Moment inequalities; Moment selection; Partial identification;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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