Weighted KS statistics for inference on conditional moment inequalities
From MaRDI portal
Publication:2451789
DOI10.1016/J.JECONOM.2014.04.021zbMATH Open1311.62041arXiv1112.1023OpenAlexW2964072154MaRDI QIDQ2451789FDOQ2451789
Authors: Timothy B. Armstrong 
Publication date: 4 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1112.1023
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
Cites Work
- Weak convergence and empirical processes. With applications to statistics
- Estimation and Confidence Regions for Parameter Sets in Econometric Models
- Testing Statistical Hypotheses
- Multiscale testing of qualitative hypotheses
- On some global measures of the deviations of density function estimates
- Semiparametric Estimation of the Intercept of a Sample Selection Model
- Convergence of stochastic processes
- Consistent model specification tests
- Optimal global rates of convergence for nonparametric regression
- Nonparametric goodness-of-fit testing under Gaussian models
- Intersection bounds: estimation and inference
- Confidence Intervals for Partially Identified Parameters
- Inference on endogenously censored regression models using conditional moment inequalities
- Bayesian and frequentist inference in partially identified models
- Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set
- More on confidence intervals for partially identified parameters
- Inference for identifiable parameters in partially identified econometric models
- Inference for parameters defined by moment inequalities using generalized moment selection
- Asymptotic Properties for a Class of Partially Identified Models
- On density estimation in the view of Kolmogorov's ideas in approximation theory
- Inference for the identified set in partially identified econometric models
- A test of non-identifying restrictions and confidence regions for partially identified parameters
- VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
- Nonparametric inference based on conditional moment inequalities
- Asymptotically exact nonparametric hypothesis testing in sup-norm and at a fixed point
- Consistent estimation with many moment inequalities
- Multiscale adaptive inference on conditional moment inequalities
Cited In (24)
- Moment inequalities for multinomial choice with fixed effects
- Consistent estimation with many moment inequalities
- Multiscale adaptive inference on conditional moment inequalities
- Specification tests for partially identified models defined by moment inequalities
- Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
- Irregular identification, support conditions, and inverse weight estimation
- Testing for a general class of functional inequalities
- Nonparametric inference based on conditional moment inequalities
- Set identification of the censored quantile regression model for short panels with fixed effects
- Comparison of inferential methods in partially identified models in terms of error in coverage probability
- Adaptive tests of conditional moment inequalities
- Dynamic discrete choice models with incomplete data: sharp identification
- Asymptotically exact inference in conditional moment inequality~models
- IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA
- Tests for the first-order stochastic dominance
- Instrument validity for heterogeneous causal effects
- The weighted method of moments approach for moment condition models
- TESTING REGRESSION MONOTONICITY IN ECONOMETRIC MODELS
- Inference in ordered response games with complete information
- Inference based on many conditional moment inequalities
- A weighted model confidence set: applications to local and mixture model confidence sets
- Inference in partially identified models with many moment inequalities using Lasso
- A simple test for moment inequality models with an application to English auctions
- On the choice of test statistic for conditional moment inequalities
This page was built for publication: Weighted KS statistics for inference on conditional moment inequalities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2451789)
