Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-64440
Romano, Joseph P; Shaikh, Azeem M; Wolf, Michael (2012). A simple two-step method for testing moment inequalities with an application to inference in partially identified models. Working paper series / Department of Economics 90, University of Zurich.
This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A Bonferonni-type correction is used to account for the fact that with some probability the moments may not lie in the confidence region. It is shown that the test controls size uniformly over a large class of distributions for the observed data. An important feature of the proposal is that it remains computationally feasible, even when the number of moments is very large. The finite-sample properties of the procedure are examined via a simulation study, which demonstrates, among other things, that the proposal remains competitive with existing procedures while being computationally more attractive.
|Item Type:||Working Paper|
|Communities & Collections:||03 Faculty of Economics > Department of Economics|
Working Paper Series > Department of Economics
|JEL Classification:||C12, C14|
|Uncontrolled Keywords:||Bonferonni inequality, bootstrap, moment inequalities, partial identification, uniform validity|
|Deposited On:||28 Aug 2012 13:30|
|Last Modified:||07 Mar 2013 12:27|
|Series Name:||Working paper series / Department of Economics|
|Number of Pages:||29|
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