Asymptotically exact inference in conditional moment inequality~models
From MaRDI portal
Publication:2346015
Abstract: This paper derives the rate of convergence and asymptotic distribution for a class of Kolmogorov-Smirnov style test statistics for conditional moment inequality models for parameters on the boundary of the identified set under general conditions. In contrast to other moment inequality settings, the rate of convergence is faster than root-, and the asymptotic distribution depends entirely on nonbinding moments. The results require the development of new techniques that draw a connection between moment selection, irregular identification, bandwidth selection and nonstandard M-estimation. Using these results, I propose tests that are more powerful than existing approaches for choosing critical values for this test statistic. I quantify the power improvement by showing that the new tests can detect alternatives that converge to points on the identified set at a faster rate than those detected by existing approaches. A monte carlo study confirms that the tests and the asymptotic approximations they use perform well in finite samples. In an application to a regression of prescription drug expenditures on income with interval data from the Health and Retirement Study, confidence regions based on the new tests are substantially tighter than those based on existing methods.
Recommendations
Cites work
- A test of non-identifying restrictions and confidence regions for partially identified parameters
- Adaptive tests of conditional moment inequalities
- Asymptotic Properties for a Class of Partially Identified Models
- Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
- Asymptotically exact nonparametric hypothesis testing in sup-norm and at a fixed point
- Bayesian and frequentist inference in partially identified models
- Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set
- Bounds on elasticities with optimization frictions: a synthesis of micro and macro evidence on labor supply
- Confidence Intervals for Partially Identified Parameters
- Consistent model specification tests
- Estimation and Confidence Regions for Parameter Sets in Econometric Models
- Inference based on conditional moment inequalities
- Inference for identifiable parameters in partially identified econometric models
- Inference for parameters defined by moment inequalities using generalized moment selection
- Inference for parameters defined by moment inequalities: a recommended moment selection procedure
- Inference for the identified set in partially identified econometric models
- Inference on endogenously censored regression models using conditional moment inequalities
- Inference on Regressions with Interval Data on a Regressor or Outcome
- More on confidence intervals for partially identified parameters
- Multiscale adaptive inference on conditional moment inequalities
- On Subsampling Estimators with Unknown Rate of Convergence
- On the uniform asymptotic validity of subsampling and the bootstrap
- Regression Quantiles
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- Set identified linear models
- Subsampling
- Testing functional inequalities
- VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
- Weighted KS statistics for inference on conditional moment inequalities
Cited in
(21)- On the choice of test statistic for conditional moment inequalities
- Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
- Inference in ordered response games with complete information
- Inference in partially identified models with many moment inequalities using Lasso
- Nonparametric inference based on conditional moment inequalities
- Distribution-free tests of conditional moment inequalities
- Multiscale adaptive inference on conditional moment inequalities
- A simple test for moment inequality models with an application to English auctions
- Inference based on conditional moment inequalities
- Intersection bounds: estimation and inference
- Distortions of asymptotic confidence size in locally misspecified moment inequality models
- Testing for a general class of functional inequalities
- Adaptive tests of conditional moment inequalities
- Inference based on many conditional moment inequalities
- Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models
- An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls
- Moment inequalities for multinomial choice with fixed effects
- A general test for functional inequalities
- Inference in the presence of unknown rates
- A user's guide for inference in models defined by moment inequalities
- Dimension reduction and testing of functional inequalities conditional on estimated functions
This page was built for publication: Asymptotically exact inference in conditional moment inequality~models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2346015)
