On the choice of test statistic for conditional moment inequalities
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Publication:1706486
DOI10.1016/J.JECONOM.2017.10.007zbMATH Open1386.62015arXiv1410.4718OpenAlexW3121140189MaRDI QIDQ1706486FDOQ1706486
Authors: Timothy B. Armstrong 
Publication date: 22 March 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: This paper derives asymptotic approximations to the power of Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting function and, for tests based on kernel estimates, kernel bandwidth. The results show that, in the setting considered here, KS tests are preferred to CvM tests, and that a truncated variance weighting is preferred to bounded weightings.
Full work available at URL: https://arxiv.org/abs/1410.4718
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Cited In (7)
- Adaptive tests of conditional moment inequalities
- Stochastically weighted average conditional moment tests of functional form
- Asymptotic distribution of test statistics in the analysis of moment structures under inequality constraints
- Model selection tests for moment inequality models
- OPTIMALITY FOR THE INTEGRATED CONDITIONAL MOMENT TEST
- Inference in ordered response games with complete information
- Title not available (Why is that?)
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