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A simple two-step method for testing moment inequalities with an application to inference in partially identified models
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - 2012
This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are negative. A...
Persistent link: https://www.econbiz.de/10010316942
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2013
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10010318712
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
application of our test is sub-vector inference in moment inequality models, that is, for a multidimensional Ø, the function f …
Persistent link: https://www.econbiz.de/10010368194
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10010368196
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in …. Our inference method controls asymptotic size uniformly over a large class of data distributions. The current literature … inference. Relative to projection-based procedures, our method presents three advantages: (i) it weakly dominates in terms of …
Persistent link: https://www.econbiz.de/10010368201
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A practical two-step method for testing moment inequalities
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - 2014
This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are "negative." A...
Persistent link: https://www.econbiz.de/10011282464
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2015
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in …. Our inference method controls asymptotic size uniformly over a large class of data distributions. The current literature … inference. Relative to projection-based procedures, our method presents three advantages: (i) it weakly dominates in terms of …
Persistent link: https://www.econbiz.de/10011445755
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Inference for subvectors and other functions of partially identified parameters in moment inequality models
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - In: Quantitative Economics 8 (2017) 1, pp. 1-38
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in … new inference method we propose controls asymptotic size uniformly over a large class of data distributions and improves … inference. Relative to projection-based procedures, our method presents three advantages: (i) it weakly dominates in terms of …
Persistent link: https://www.econbiz.de/10011995481
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Finite sample inference for the maximum score estimand
Rosen, Adam M.; Ura, Takuya - 2020
We provide a finite sample inference method for the structural parameters of a semiparametric binary response model … under a conditional median restriction originally studied by Manski (1975, 1985). Our inference method is valid for any … due to the lack of a continuously distributed covariate with large support. Our inference approach exploits distributional …
Persistent link: https://www.econbiz.de/10012621099
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - In: Journal of Econometrics 185 (2015) 1, pp. 259-282
This paper studies the problem of specification testing in partially identified models defined by moment (in)equalities. This problem has not been directly addressed in the literature, although several papers have suggested a test based on checking whether confidence sets for the parameters of...
Persistent link: https://www.econbiz.de/10011190735