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Adaptive test of conditional moment inequalities

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  • Denis Chetverikov

Abstract

In this paper, the author constructs a new test of conditional moment inequalities based on studentised kernel estimates of moment functions. The test automatically adapts to the unknown smoothness of the moment functions, has uniformly correct asymptotic size, and is rate optimal against certain classes of alternatives. Some existing tests have nontrivial n-½-local alternatives of the certain type whereas my method only allows (n / log n)-½ - local alternatives of this type. There exist, however, large classes of sequences of well-behaved alternatives against which the test developed in this paper is consistent and those tests are not.

Suggested Citation

  • Denis Chetverikov, 2012. "Adaptive test of conditional moment inequalities," CeMMAP working papers 36/12, Institute for Fiscal Studies.
    • Handle: RePEc:azt:cemmap:36/12
    DOI: 10.1920/wp.cem.2012.3612
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    References listed on IDEAS

    as
    1. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(3), pages 669-709, June.
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