arXiv 29 Apr 2019 · Mathematics — Statistics Theory · 3 citations (OpenAlex)
arXiv:1904.12775 · PDF · DOI · OpenAlex · Extracted main text
This paper considers the problem of testing many moment inequalities, where the number of moment inequalities ($p$) is possibly larger than the sample size ($n$). Chernozhukov et al. (2019) proposed asymptotic tests for this problem using the maximum $t$ statistic. We observe that such tests can have low power if multiple inequalities are violated. As an alternative, we propose novel randomization tests based on a maximum non-negatively weighted combination of $t$ statistics. We provide a condition guaranteeing size control in large samples. Simulations show that the tests control size in small samples ($n = 30$, $p = 1000$), and often has substantially higher power against alternatives with multiple violations than tests based on the maximum $t$ statistic.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | F. A. Bugni, M. Caner, A. B. Kock, and S. Lahiri (2016) Inference in partially identified models with many moment inequalities using lasso | 0.843 | 3 | 3 | 100% |
| 2 | P. A. Bekker and S. Lawford (2008) Symmetry-based inference in an instrumental variable setting self | 0.811 | 4 | 2 | 100% |
| 3 | N. Koning (2019) Directing power towards conic parameter subspaces | 0.737 | 3 | 2 | 100% |
| 4 | N. Meinshausen et al (2013) Sign-constrained least squares estimation for high-dimensional regression | 0.737 | 3 | 2 | 100% |
| 5 | V. Chernozhukov, D. Chetverikov, and K. Kato (2019) Inference on causal and structural parameters using many moment inequalities | 0.644 | 2 | 2 | 100% |
| 6 | E. L. Lehmann and J. P. Romano (2006) Testing statistical hypotheses | 0.644 | 2 | 2 | 100% |
| 7 | J. S. Maritz (1995) Distribution-free statistical methods, volume 17 | 0.644 | 2 | 2 | 100% |
| 8 | R. Allen (2018) Testing moment inequalities: Selection versus recentering | 0.405 | 1 | 1 | 100% |
| 9 | D. W. Andrews and P. Guggenberger (2009) Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities | 0.405 | 1 | 1 | 100% |
| 10 | D. W. Andrews and P. J. Barwick (2012) Inference for parameters defined by moment inequalities: A recommended moment selection procedure | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 27 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Improved Central Limit Theorem and Bootstrap Approximations in High Dimensions | 0.405 | 1 | 1 |