In this paper, we construct confidence sets for models defined by many conditional moment inequalities/equalities. The conditional moment restrictions in the models can be finite, countably infinite, or uncountably infinite. To deal with the complication brought about by the vast number of...

In this paper, we construct confidence sets for models defined by many conditional moment inequalities/equalities. The conditional moment restrictions in the models can be finite, countably in finite, or uncountably in finite. To deal with the complication brought about by the vast number of...

In this paper, I propose a one-step nondegenerate test as an alternative to the classical Vuong (1989) tests. I show that the new test achieves uniform asymptotic size control in both the overlapping and the non-overlapping cases, while the classical Vuong tests do not. Meanwhile, the power of...