Inference in Moment Inequality Models That Is Robust to Spurious Precision under Model Misspecification

Standard tests and confidence sets in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a pseudo-true parameter in such scenarios, and hence, do not suffer from spurious precision

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Year of publication:	2019
Authors:	Andrews, Donald W. K.
Other Persons:	Kwon, Soonwoo (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Modellierung \| Scientific modelling \| Induktive Statistik \| Statistical inference \| Robustes Verfahren \| Robust statistics \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (125 p)
Series:	Cowles Foundation Discussion Paper ; No. 2184, July 2019
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 8, 2019 erstellt
Other identifiers:	10.2139/ssrn.3416831 [DOI]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012867020