Econometrica: Jan, 2010, Volume 78, Issue 1
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
https://doi.org/10.3982/ECTA7502
p. 119-157
Donald W. K. Andrews, Gustavo Soares
The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are shown to have correct asymptotic size in a uniform sense and are shown not to be asymptotically conservative.
Supplemental Material
Supplement to "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection"
This supplement contains proofs for the manuscript.
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Supplement to "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection"
The GAUSS code used to compute the simulation results reported in Andrews and Soares (2010)
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