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Inference for Linear Conditional Moment Inequalities / Isaiah Andrews, Jonathan Roth, Ariel Pakes.
- Format:
- Book
- Author/Creator:
- Andrews, Isaiah.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w26374.
- NBER working paper series no. w26374
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- 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.
- Notes:
- Print version record
- October 2019.
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