IDEAS home Printed from https://ideas.repec.org/p/umc/wpaper/1516.html
   My bibliography  Save this paper

Bayesian and frequentist inequality tests

Author

Listed:
  • David M. Kaplan

    (Department of Economics, University of Missouri)

  • Longhao Zhuo

Abstract

Working paper WP 15-16 has been replaced by WP 19-10.

Suggested Citation

  • David M. Kaplan & Longhao Zhuo, 2015. "Bayesian and frequentist inequality tests," Working Papers 1516, Department of Economics, University of Missouri, revised Feb 2018.
    • Handle: RePEc:umc:wpaper:1516
    as

    Download full text from publisher

    File URL: https://drive.google.com/file/d/18K67TvcSfX6h3LfEjM3U1jlU0l-ytZYa/view?usp=sharing
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Yuichi Kitamura & Jörg Stoye, 2018. "Nonparametric Analysis of Random Utility Models," Econometrica, Econometric Society, vol. 86(6), pages 1883-1909, November.
    2. Dette, Holger & Hoderlein, Stefan & Neumeyer, Natalie, 2016. "Testing multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness," Journal of Econometrics, Elsevier, vol. 191(1), pages 129-144.
    3. Goldman, Matt & Kaplan, David M., 2018. "Comparing distributions by multiple testing across quantiles or CDF values," Journal of Econometrics, Elsevier, vol. 206(1), pages 143-166.
    4. Norets, Andriy, 2015. "Bayesian regression with nonparametric heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 409-419.
    5. Dufour, Jean-Marie, 1989. "Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions," Econometrica, Econometric Society, vol. 57(2), pages 335-355, March.
    6. O'Donnell, Christopher J. & Coelli, Timothy J., 2005. "A Bayesian approach to imposing curvature on distance functions," Journal of Econometrics, Elsevier, vol. 126(2), pages 493-523, June.
    7. Keisuke Hirano & Jack R. Porter, 2009. "Asymptotics for Statistical Treatment Rules," Econometrica, Econometric Society, vol. 77(5), pages 1683-1701, September.
    8. Kim, Jae-Young, 2002. "Limited information likelihood and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 175-193, March.
    9. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982. "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters," Econometrica, Econometric Society, vol. 50(1), pages 63-80, January.
    10. Ulrich K. Müller & Andriy Norets, 2016. "Credibility of Confidence Sets in Nonstandard Econometric Problems," Econometrica, Econometric Society, vol. 84, pages 2183-2213, November.
    11. William Barnett & Evgeniya Duzhak, 2010. "Empirical assessment of bifurcation regions within New Keynesian models," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 99-128, October.
    12. David M Kaplan & Wei Zhao, 2023. "Comparing latent inequality with ordinal data," The Econometrics Journal, Royal Economic Society, vol. 26(2), pages 189-214.
    13. Russell Davidson & Jean-Yves Duclos, 2013. "Testing for Restricted Stochastic Dominance," Econometric Reviews, Taylor & Francis Journals, vol. 32(1), pages 84-125, January.
    14. Donald W.K. Andrews, 2011. "Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power," Cowles Foundation Discussion Papers 1815, Cowles Foundation for Research in Economics, Yale University.
    15. Brendan Kline & Elie Tamer, 2016. "Bayesian inference in a class of partially identified models," Quantitative Economics, Econometric Society, vol. 7(2), pages 329-366, July.
    16. Barnett, William A. & Eryilmaz, Unal, 2016. "An Analytical And Numerical Search For Bifurcations In Open Economy New Keynesian Models," Macroeconomic Dynamics, Cambridge University Press, vol. 20(2), pages 482-503, March.
    17. David M. Mandy, 2018. "Leading Principal Minors And Semidefiniteness," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 1396-1398, April.
    18. Guggenberger, Patrik & Hahn, Jinyong & Kim, Kyooil, 2008. "Specification testing under moment inequalities," Economics Letters, Elsevier, vol. 99(2), pages 375-378, May.
    19. Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October.
    20. Christensen, Laurits R & Jorgenson, Dale W & Lau, Lawrence J, 1973. "Transcendental Logarithmic Production Frontiers," The Review of Economics and Statistics, MIT Press, vol. 55(1), pages 28-45, February.
    21. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
    22. Hahn, Jinyong, 1997. "Bayesian Bootstrap of the Quantile Regression Estimator: A Large Sample Study," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(4), pages 795-808, November.
    23. Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
    24. Fuss, Melvyn & McFadden, Daniel, 1978. "Production Economics: A Dual Approach to Theory and Applications (II): Applications of the Theory of Production," History of Economic Thought Books, McMaster University Archive for the History of Economic Thought, volume 2, number fuss1978a.
    25. Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January.
    26. Jorg Stoye, 2009. "More on Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 77(4), pages 1299-1315, July.
    27. Berndt, Ernst R & Savin, N Eugene, 1977. "Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model," Econometrica, Econometric Society, vol. 45(5), pages 1263-1277, July.
    28. 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.
    29. Deaton, Angus S & Paxson, Christina H, 1998. "Aging and Inequality in Income and Health," American Economic Review, American Economic Association, vol. 88(2), pages 248-253, May.
    30. Chamberlain, Gary & Imbens, Guido W, 2003. "Nonparametric Applications of Bayesian Inference," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 12-18, January.
    31. Susanne M. Schennach, 2005. "Bayesian exponentially tilted empirical likelihood," Biometrika, Biometrika Trust, vol. 92(1), pages 31-46, March.
    32. Fuss, Melvyn & McFadden, Daniel (ed.), 1978. "Production Economics: A Dual Approach to Theory and Applications," Elsevier Monographs, Elsevier, edition 1, number 9780444850133.
    33. Donald, Stephen G. & Hsu, Yu-Chin, 2011. "A new test for linear inequality constraints when the variance–covariance matrix depends on the unknown parameters," Economics Letters, Elsevier, vol. 113(3), pages 241-243.
    34. Shen X., 2002. "Asymptotic Normality of Semiparametric and Nonparametric Posterior Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 222-235, March.
    35. Yuichi Kitamura & Jörg Stoye, 2013. "Nonparametric analysis of random utility models: testing," CeMMAP working papers 36/13, Institute for Fiscal Studies.
    36. Hyungsik Roger Moon & Frank Schorfheide, 2012. "Bayesian and Frequentist Inference in Partially Identified Models," Econometrica, Econometric Society, vol. 80(2), pages 755-782, March.
    37. Kodde, David A & Palm, Franz C, 1986. "Wald Criteria for Jointly Testing Equality and Inequality Restriction s," Econometrica, Econometric Society, vol. 54(5), pages 1243-1248, September.
    38. Ghosal,Subhashis & van der Vaart,Aad, 2017. "Fundamentals of Nonparametric Bayesian Inference," Cambridge Books, Cambridge University Press, number 9780521878265.
    39. Sims, Christopher A & Uhlig, Harald, 1991. "Understanding Unit Rooters: A Helicopter Tour," Econometrica, Econometric Society, vol. 59(6), pages 1591-1599, November.
    40. Goldman, Matt & Kaplan, David M., 2018. "Comparing distributions by multiple testing across quantiles or CDF values," Journal of Econometrics, Elsevier, vol. 206(1), pages 143-166.
    41. Fuss, Melvyn & McFadden, Daniel, 1978. "Production Economics: A Dual Approach to Theory and Applications (I): The Theory of Production," History of Economic Thought Books, McMaster University Archive for the History of Economic Thought, volume 1, number fuss1978.
    42. Kim, Jaehoon & Kim, Sangsin, 2015. "2012년 국회법 개정의 효과 연구 [A Study on the Effect of the 2012 National Assembly Act Amendment]," KDI Research Monographs, Korea Development Institute (KDI), volume 127, number v:2015-03(k):y:2015:p:1-1.
    43. Kaur, Amarjot & Prakasa Rao, B.L.S. & Singh, Harshinder, 1994. "Testing for Second-Order Stochastic Dominance of Two Distributions," Econometric Theory, Cambridge University Press, vol. 10(5), pages 849-866, December.
    44. Moreira, Humberto Ataíde & Moreira, Marcelo J., 2013. "Contributions to the Theory of Optimal Tests," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 747, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    45. 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.
    46. Wolak, Frank A., 1989. "Testing inequality constraints in linear econometric models," Journal of Econometrics, Elsevier, vol. 41(2), pages 205-235, June.
    47. Patton, Andrew J. & Timmermann, Allan, 2010. "Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts," Journal of Financial Economics, Elsevier, vol. 98(3), pages 605-625, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Goldman, Matt & Kaplan, David M., 2018. "Comparing distributions by multiple testing across quantiles or CDF values," Journal of Econometrics, Elsevier, vol. 206(1), pages 143-166.
    2. David M Kaplan & Wei Zhao, 2023. "Comparing latent inequality with ordinal data," The Econometrics Journal, Royal Economic Society, vol. 26(2), pages 189-214.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kaplan, David M. & Zhuo, Longhao, 2021. "Frequentist properties of Bayesian inequality tests," Journal of Econometrics, Elsevier, vol. 221(1), pages 312-336.
    2. David M. Kaplan & Longhao Zhuo, 2016. "Frequentist size of Bayesian inequality tests," Papers 1607.00393, arXiv.org, revised Feb 2018.
    3. Liao, Yuan & Simoni, Anna, 2019. "Bayesian inference for partially identified smooth convex models," Journal of Econometrics, Elsevier, vol. 211(2), pages 338-360.
    4. Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Yuichi Kitamura & Jörg Stoye, 2018. "Nonparametric Analysis of Random Utility Models," Econometrica, Econometric Society, vol. 86(6), pages 1883-1909, November.
    6. Ho, Kate & Rosen, Adam M., 2015. "Partial Identification in Applied Research: Benefits and Challenges," CEPR Discussion Papers 10883, C.E.P.R. Discussion Papers.
    7. Raffaella Giacomini & Toru Kitagawa, 2021. "Robust Bayesian Inference for Set‐Identified Models," Econometrica, Econometric Society, vol. 89(4), pages 1519-1556, July.
    8. Francesca Molinari, 2020. "Microeconometrics with Partial Identi?cation," CeMMAP working papers CWP15/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. Yuan Liao & Anna Simoni, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," Papers 1212.3267, arXiv.org, revised Nov 2013.
    10. Ivan A. Canay & Azeem M. Shaikh, 2016. "Practical and theoretical advances in inference for partially identified models," CeMMAP working papers CWP05/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. Yuan Liao & Anna Simoni, 2016. "Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?," Departmental Working Papers 201607, Rutgers University, Department of Economics.
    12. Chen, Le-Yu & Szroeter, Jerzy, 2014. "Testing multiple inequality hypotheses: A smoothed indicator approach," Journal of Econometrics, Elsevier, vol. 178(P3), pages 678-693.
    13. David M Kaplan & Wei Zhao, 2023. "Comparing latent inequality with ordinal data," The Econometrics Journal, Royal Economic Society, vol. 26(2), pages 189-214.
    14. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Hiroaki Kaido & Francesca Molinari & Jörg Stoye, 2019. "Confidence Intervals for Projections of Partially Identified Parameters," Econometrica, Econometric Society, vol. 87(4), pages 1397-1432, July.
    16. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2018. "Monte Carlo Confidence Sets for Identified Sets," Econometrica, Econometric Society, vol. 86(6), pages 1965-2018, November.
    17. Cherchye, Laurens & Demuynck, Thomas & Rock, Bram De, 2019. "Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures," Journal of Econometrics, Elsevier, vol. 211(2), pages 483-506.
    18. Bugni, Federico A. & Canay, Ivan A. & Shi, Xiaoxia, 2015. "Specification tests for partially identified models defined by moment inequalities," Journal of Econometrics, Elsevier, vol. 185(1), pages 259-282.
    19. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2014. "Inference for functions of partially identified parameters in moment inequality models," CeMMAP working papers 22/14, Institute for Fiscal Studies.
    20. Donald W. K. Andrews & Xiaoxia Shi, 2013. "Inference Based on Conditional Moment Inequalities," Econometrica, Econometric Society, vol. 81(2), pages 609-666, March.

    More about this item

    Keywords

    Bernstein-von Mises theorem; convexity; first-order stochastic dominance; limit experiment; nonstandard inference;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:umc:wpaper:1516. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chao Gu (email available below). General contact details of provider: https://edirc.repec.org/data/edumous.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.