Rami V. Tabri, Christopher D. Walker
arXiv 20 Aug 2020 · Econometrics
arXiv:2008.09021 · PDF · DOI · OpenAlex · Extracted main text
Inference in models where the parameter is defined by moment inequalities is of interest in many areas of economics. This paper develops a new method for improving the performance of generalized moment selection (GMS) testing procedures in finite-samples. The method modifies GMS tests by tilting the empirical distribution in its moment selection step by an amount that maximizes the empirical likelihood subject to the restrictions of the null hypothesis. We characterize sets of population distributions on which a modified GMS test is (i) asymptotically equivalent to its non-modified version to first-order, and (ii) superior to its non-modified version according to local power when the sample size is large enough. An important feature of the proposed modification is that it remains computationally feasible even when the number of moment inequalities is large. We report simulation results that show the modified tests control size well, and have markedly improved local power over their non-modified counterparts.
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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 | Lok, T. M. and Tabri, R. V. (in press) An Improved Bootstrap Test for Restricted Stochastic Dominance self | 1.000 | 6 | 4 | 100% |
| 2 | Andrews, D. W. K. and Guggenberger, P (2009) plug-in asymptotic | 0.956 | 8 | 4 | 88% |
| 3 | Canay, I. A (2010) El inference for partially identified models: Large deviations optimality and bootstrap validity | 0.956 | 8 | 3 | 88% |
| 4 | Andrews, D. W. K. and Barwick, P. J (2012) Inference for parameters defined by moment inequalities: A recommended moment selection procedure | 0.924 | 19 | 6 | 79% |
| 5 | Andrews, D. W. K. and Soares, G (2010) Inference for parameters defined by moment inequalities using generalized moment selection | 0.877 | 40 | 8 | 68% |
| 6 | Romano, J. P., Shaikh, A. M., and Wolf, M (2014) A practical two-step method for testing moment inequalities | 0.822 | 9 | 5 | 56% |
| 7 | Owen, A. B (2001) Empirical likelihood | 0.737 | 3 | 3 | 67% |
| 8 | Andrews, D. W. K. and Barwick, P. J (2012) inference for parameters defined by moment inequalities: A recommended moment selection procedure | 0.644 | 4 | 1 | 100% |
| 9 | Chernozhukov, V., Hong, H., and Tamer, E (2007) Estimation and confidence regions for parameter sets in econometric models | 0.644 | 2 | 2 | 100% |
| 10 | Chetverikov, D., Santos, A., and Shaikh, A. M (2018) The Econometrics of Shape Restrictions | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 26 scored citations.