Specification testing under moment inequalities
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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- Arie Beresteanu & Francesca Molinari, 2006.
"Asymptotic properties for a class of partially identified models,"
CeMMAP working papers
CWP10/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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- Beresteanu, Arie & Molinari, Francesca, 2006. "Asymptotic Properties for a Class of Partially Identified Models," Working Papers 06-07, Cornell University, Center for Analytic Economics.
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- 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.
- 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.
- Guido W. Imbens & Charles F. Manski, 2004.
"Confidence Intervals for Partially Identified Parameters,"
Econometric Society, vol. 72(6), pages 1845-1857, November.
- Guido Imbens & Charles F. Manski, 2003. "Confidence intervals for partially identified parameters," CeMMAP working papers CWP09/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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