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Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
Andrews, Donald W.K.; Jia, Panle - Cowles Foundation for Research in Economics, Yale University - 2008
methods (i.e., the asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare these methods …
Persistent link: https://www.econbiz.de/10009209702
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On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests
Andrews, Donald W.K.; Buchinsky, Moshe - Cowles Foundation for Research in Economics, Yale University - 1997
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors … desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate …, confidence interval endpoint(s), test's critical value, or test's p-value based on B bootstrap simulations from the corresponding …
Persistent link: https://www.econbiz.de/10004990816
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Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
Andrews, Donald W.K.; Soares, Gustavo - Cowles Foundation for Research in Economics, Yale University - 2007
to be asymptotically conservative. The power of GMS tests is compared to that of subsampling, m out of n bootstrap, and … to have asymptotic power that dominates that of subsampling, m out of n bootstrap, and PA tests. Subsampling and m out of … n bootstrap tests are shown to have asymptotic power that dominates that of PA tests. …
Persistent link: https://www.econbiz.de/10005464003
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Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models
Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2014
An influential paper by Kleibergen (2005) introduces Lagrange multiplier (LM) and conditional likelihood ratio-like (CLR) tests for nonlinear moment condition models. These procedures aim to have good size performance even when the parameters are unidentified or poorly identified. However, the...
Persistent link: https://www.econbiz.de/10011103450
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Identification- and Singularity-Robust Inference for Moment Condition
Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2015
This paper introduces two new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) tests and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. The paper shows that the tests have...
Persistent link: https://www.econbiz.de/10011107241
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GMM Estimation and Uniform Subvector Inference with Possible Identification Failure
Andrews, Donald W.K.; Cheng, Xu - Cowles Foundation for Research in Economics, Yale University - 2011
This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CS's) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM...
Persistent link: https://www.econbiz.de/10010817230
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Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2007
out of n bootstrap, and "plug-in asymptotic" tests and confidence intervals for such parameters. Establishing uniform …
Persistent link: https://www.econbiz.de/10005593497
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Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
Andrews, Donald W.K.; Jia, Panle - Cowles Foundation for Research in Economics, Yale University - 2008
methods (i.e., asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare a wide variety of …
Persistent link: https://www.econbiz.de/10005762779
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Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2010
In this paper, we propose an instrumental variable approach to constructing confidence sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities. We show that by properly choosing instrument functions, one can transform conditional moment...
Persistent link: https://www.econbiz.de/10008527413
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Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2010
In this paper, we propose an instrumental variable approach to constructing confidence sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities. We show that by properly choosing instrument functions, one can transform conditional moment...
Persistent link: https://www.econbiz.de/10009207363