Weighted KS statistics for inference on conditional moment inequalities
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Publication:2451789
Abstract: This paper proposes confidence regions for the identified set in conditional moment inequality models using Kolmogorov-Smirnov statistics with a truncated inverse variance weighting with increasing truncation points. The new weighting differs from those proposed in the literature in two important ways. First, confidence regions based on KS tests with the weighting function I propose converge to the identified set at a faster rate than existing procedures based on bounded weight functions in a broad class of models. This provides a theoretical justification for inverse variance weighting in this context, and contrasts with analogous results for conditional moment equalities in which optimal weighting only affects the asymptotic variance. Second, the new weighting changes the asymptotic behavior, including the rate of convergence, of the KS statistic itself, requiring a new asymptotic theory in choosing the critical value, which I provide. To make these comparisons, I derive rates of convergence for the confidence regions I propose along with new results for rates of convergence of existing estimators under a general set of conditions. A series of examples illustrates the broad applicability of the conditions. A monte carlo study examines the finite sample behavior of the confidence regions.
Recommendations
- A Kolmogorov inequality for weighted U-statistics
- A new look at probability-weighted moments estimators
- Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests
- A class of semi-parametric probability weighted moment estimators
- Statistical inference based on a new weighted likelihood approach
- Jackknife empirical likelihood based inference for probability weighted moments
- Stochastically weighted average conditional moment tests of functional form
- Weighted multivariate Cramér-von Mises-type statistics
- A weak invariance principle for weighted U-statistics with varying kernels
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