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Inference based on many conditional moment inequalities

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  • Andrews, Donald W.K.
  • Shi, Xiaoxia

Abstract

We construct confidence sets for models defined by many conditional moment inequalities/equalities. The number of conditional moment restrictions can be up to infinitely many. To deal with the vast number of moment restrictions, we exploit the manageability (Pollard (1990)) of the class of moment functions. We verify this condition in five examples from the recent partial identification literature.

Suggested Citation

  • Andrews, Donald W.K. & Shi, Xiaoxia, 2017. "Inference based on many conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 196(2), pages 275-287.
    • Handle: RePEc:eee:econom:v:196:y:2017:i:2:p:275-287
    DOI: 10.1016/j.jeconom.2016.09.010
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Asymptotic size; Asymptotic power; Conditional moment inequalities; Confidence set; Cramér–von Mises; Kolmogorov–Smirnov; Moment inequalities;
    All these keywords.

    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

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