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Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
Author(s) -
Andrews Donald W. K.,
Barwick Panle Jia
Publication year - 2012
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.3982/ecta8166
Subject(s) - moment (physics) , inference , test statistic , statistic , selection (genetic algorithm) , mathematics , statistics , confidence interval , value (mathematics) , statistical hypothesis testing , econometrics , computer science , machine learning , artificial intelligence , physics , classical mechanics
This paper is concerned with tests and confidence intervals for parameters that are not necessarily point identified and are defined by moment inequalities. In the literature, different test statistics, critical‐value methods, and implementation methods (i.e., the asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare these methods. We provide a recommended test statistic, moment selection critical value, and implementation method. We provide data‐dependent procedures for choosing the key moment selection tuning parameter κ and a size‐correction factor η .