Inference in partially identified models with many moment inequalities using Lasso

DOI10.1016/J.JSPI.2019.09.013MaRDI QIDQ2301088zbMATH OpenOpenAlexWikidataFDO

Authors Federico A. Bugni, Mehmet Caner, Anders Bredahl Kock, Soumendra N. Lahiri

Publication date 28 February 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.02309

zbMATH Keywords

empirical bootstrapinequality selectionLassomany moment inequalitiesmultiplier bootstrapself-normalizing sum

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Order statistics; empirical distribution functions (62G30) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: This paper considers inference in a partially identified moment (in)equality model with many moment inequalities. We propose a novel two-step inference procedure that combines the methods proposed by Chernozhukov, Chetverikov and Kato (2018a) (CCK18, hereafter) with a first step moment inequality selection based on the Lasso. Our method controls asymptotic size uniformly, both in underlying parameter and data distribution. Also, the power of our method compares favorably with that of the corresponding two-step method in CCK18 for large parts of the parameter space, both in theory and in simulations. Finally, we show that our Lasso-based first step can be implemented by thresholding standardized sample averages, and so it is straightforward to implement.

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Cited in

(3)

• Consistent estimation with many moment inequalities
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