arXiv 15 Jul 2019 · Econometrics · 4 citations (OpenAlex)
arXiv:1907.06317 · PDF · DOI · OpenAlex · Extracted main text
We propose a simple test for moment inequalities that has exact size in normal models with known variance and has uniformly asymptotically exact size more generally. The test compares the quasi-likelihood ratio statistic to a chi-squared critical value, where the degree of freedom is the rank of the inequalities that are active in finite samples. The test requires no simulation and thus is computationally fast and especially suitable for constructing confidence sets for parameters by test inversion. It uses no tuning parameter for moment selection and yet still adapts to the slackness of the moment inequalities. Furthermore, we show how the test can be easily adapted for inference on subvectors for the common empirical setting of conditional moment inequalities with nuisance parameters entering linearly.
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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 | Andrews, I., Roth, J., and Pakes, A (2019) Inference for linear conditional moment inequalities | 1.000 | 6 | 3 | 100% |
| 2 | Gandhi, A. K., Lu, Z., and Shi, X (2019) Estimating demand for differentiated products with zeroes in market share data self | 0.874 | 7 | 2 | 100% |
| 3 | Mohamad, D. A., Goeman, J. J., and van Zwet, E. W (2020) Adaptive critical value for constrained likelihood ratio testing | 0.843 | 4 | 3 | 75% |
| 4 | Andrews, D. and Guggenberger, P (2009) plug-in asymptotic | 0.737 | 3 | 3 | 67% |
| 5 | Andrews, D. and Soares, G (2010) Inference for parameters defined by moment inequalities using generalized moment selection | 0.693 | 5 | 1 | 100% |
| 6 | Eizenberg, A (2014) Upstream innovation and product variety in the u.s. home pc market | 0.644 | 2 | 2 | 100% |
| 7 | Guggenberger, P., Hahn, J., and Kim, K (2008) Specification testing under moment inequalities | 0.644 | 2 | 2 | 100% |
| 8 | Wollman, T. G (2018) Trucks without bailouts: Equilibrium product characteristics for commercial vehicles | 0.644 | 2 | 2 | 100% |
| 9 | Bugni, F., Canay, I., and Shi, X (2017) Inference for functions of partially identified parameters in moment inequality models self | 0.585 | 3 | 1 | 100% |
| 10 | Chen, X., Christensen, T. M., and Tamer, E (2018) Monte carlo confidence sets for identified sets | 0.511 | 2 | 1 | 100% |
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