Adaptive tests of conditional moment inequalities

DOI10.1017/S0266466617000184zbMATH Open1441.62105arXiv1201.0167OpenAlexW4243350501MaRDI QIDQ4599622FDOQ4599622

Denis Chetverikov

Publication date: 4 January 2018

Published in: Econometric Theory (Search for Journal in Brave)

Abstract: In this paper, I construct a new test of conditional moment inequalities, which is based on studentized kernel estimates of moment functions with many different values of the bandwidth parameter. The test automatically adapts to the unknown smoothness of moment functions and has uniformly correct asymptotic size. The test has high power in a large class of models with conditional moment inequalities. Some existing tests have nontrivial power against n^{-1/2}-local alternatives in a certain class of these models whereas my method only allows for nontrivial testing against (n/log n)^{-1/2}-local alternatives in this class. There exist, however, other classes of models with conditional moment inequalities where the mentioned tests have much lower power in comparison with the test developed in this paper.

Full work available at URL: https://arxiv.org/abs/1201.0167

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Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cited In (23)

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• Moment inequalities for multinomial choice with fixed effects
• Adaptive test on components of densities mixture
• Consistent estimation with many moment inequalities
• Multiscale adaptive inference on conditional moment inequalities
• Testing treatment effect heterogeneity in regression discontinuity designs
• Specification tests for partially identified models defined by moment inequalities
• Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
• Nonparametric inference based on conditional moment inequalities
• Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models
• Adaptive Testing of Conditional Association Through Recursive Mixture Modeling
• Asymptotically exact inference in conditional moment inequality~models
• Inference in models with partially identified control functions
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• Inference based on many conditional moment inequalities
• Inference in partially identified models with many moment inequalities using Lasso
• Improved central limit theorem and bootstrap approximations in high dimensions
• On the choice of test statistic for conditional moment inequalities

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