Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

• DOI: 10.3982/ecta8166
• Publication Date: 2012-11-23T03:05:38Z
• Authors: Donald W. K. Andrews; Panle Jia Barwick
• Keywords: Statistic; Value (mathematics)

This paper is concerned with tests and confidence intervals for parameters that are not necessarily point identified defined by moment inequalities. In the literature, different test statistics, critical-value methods, implementation methods (i.e., asymptotic distribution versus bootstrap) have been proposed. this paper, we compare these methods. We provide a recommended statistic, selection critical value, method. data-dependent procedures choosing key tuning parameter κ size-correction factor η.