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Specification testing under moment inequalities

  • Guggenberger, Patrik
  • Hahn, Jinyong
  • Kim, Kyooil
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    We provide a specification test for moment inequalities based on a dual characterization of the moment inequalities. For linear moment inequalities, the test is the asymptotic version of the multi-dimensional linear one-sided tests. For nonlinear moment inequalities, the implementation of the test is not practical because the dual characterization takes the form of a multi-dimensional nonlinear one-sided hypothesis.

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    File URL: http://www.sciencedirect.com/science/article/B6V84-4PMT2NN-5/1/f0fbf9baa5a0103595c69690043a170f
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 99 (2008)
    Issue (Month): 2 (May)
    Pages: 375-378

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    Handle: RePEc:eee:ecolet:v:99:y:2008:i:2:p:375-378
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
    2. Beresteanu, Arie & Molinari, Francesca, 2006. "Asymptotic Properties for a Class of Partially Identified Models," Working Papers 06-07, Cornell University, Center for Analytic Economics.
    3. Victor Chernozhukov & Han Hong & Elie Tamer, 2007. "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, Econometric Society, vol. 75(5), pages 1243-1284, 09.
    4. Charles F. Manski & Elie Tamer, 2002. "Inference on Regressions with Interval Data on a Regressor or Outcome," Econometrica, Econometric Society, vol. 70(2), pages 519-546, March.
    5. Savin, N.E., 1984. "Multiple hypothesis testing," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879 Elsevier.
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