Isaiah Andrews, Jonathan Roth, Ariel Pakes
arXiv 22 Sep 2019 · Econometrics · publishedThe Review of Economic Studies (2019) · 17 citations (OpenAlex)
arXiv:1909.10062 · PDF · DOI · OpenAlex · Extracted main text
We show that moment inequalities in a wide variety of economic applications have a particular linear conditional structure. We use this structure to construct uniformly valid confidence sets that remain computationally tractable even in settings with nuisance parameters. We first introduce least favorable critical values which deliver non-conservative tests if all moments are binding. Next, we introduce a novel conditional inference approach which ensures a strong form of insensitivity to slack moments. Our recommended approach is a hybrid technique which combines desirable aspects of the least favorable and conditional methods. The hybrid approach performs well in simulations calibrated to Wollmann (2018), with favorable power and computational time comparisons relative to existing alternatives.
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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 \ Soares (2010) `Inference for parameters defined by moment inequalities using generalized moment selection', Econometrica 78(1), 119–159 | 1.000 | 5 | 3 | 100% |
| 2 | Cox \ Shi (2022) `Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models', The Review of Economic… | 0.937 | 17 | 7 | 82% |
| 3 | Kaido, Molinari, Stoye \ Thirkettle (2017) `Calibrated projection in matlab: Users' manual', arXiv:1710.09707 [econ, stat] | 0.928 | 5 | 3 | 80% |
| 4 | Wollmann (2018) `Trucks without bailouts: Equilibrium product characteristics for commercial vehicles', American Economic Review 108(6), 1364–1406 | 0.909 | 8 | 6 | 75% |
| 5 | Rambachan \ Roth (2022) `An More Credible Approach to Parallel Trends', Working paper | 0.874 | 6 | 5 | 67% |
| 6 | Bugni, Canay \ Shi (2017) `Inference for subvectors and other functions of partially identified parameters in moment inequality models', Quantitative Econ… | 0.874 | 6 | 2 | 100% |
| 7 | Cho \ Russell (2021) Simple inference on functionals of set-identified parameters defined by linear moments | 0.843 | 4 | 3 | 75% |
| 8 | Romano, Shaikh \ Wolf (2014) `A practical two-step method for testing moment inequalities', Econometrica 82(5), 1979–2002 | 0.811 | 4 | 2 | 100% |
| 9 | Gafarov (2019) Inference in high-dimensional set-identified affine models | 0.737 | 3 | 3 | 67% |
| 10 | Chernozhukov, Newey \ Santos (2015) Constrained conditional moment restriction models | 0.737 | 3 | 2 | 100% |
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