Nonparametric inference based on conditional moment inequalities

Journal of Econometrics

Volumn 179, Issue 1, 2014, Pages 31-45

  Andrews, Donald W K ^a   Shi, Xiaoxia ^b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Asymptotic size; Kernel; Local power; Moment inequalities; Nonparametric inference; Partial identification

Indexed keywords

SAMPLING; STATISTICAL TESTS;

ASYMPTOTIC SIZE; KERNEL; LOCAL POWER; MOMENT INEQUALITY; NONPARAMETRIC INFERENCE; PARTIAL IDENTIFICATION;

METHOD OF MOMENTS;

EID: 84929616415     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.10.005     Document Type: Article

References (43)

1. Andrews, D. W. K., 1988. Chi-square diagnostic tests for econometric models: theory. Econometrica 56, 1419-1453.
2. Andrews, D. W. K., Barwick, P., J., 2012. Inference for parameters defined by moment inequalities: a recommended moment selection procedure. Econometrica 80, 2805-2826.
3. Andrews, D. W. K., Berry, S. T., and Jia, P., 2004. Confidence Regions for Parameters in Discrete Games with Multiple Equilibria, with an Application to Discount Chain Store Location. Unpublished manuscript, Cowles Foundation, Yale University.
4. Andrews, D. W. K., Guggenberger, P., 2009. Validity of subsampling and "plug-in asymptotic"inference for parameters defined by moment inequalities. Econometric Theory 25, 669-709.
5. Andrews, D. W. K., Shi, X., 2010. Inference based on (possibly infinitely) many conditional moment inequalities. Unpublished manuscript, Cowles Foundation, Yale University.
6. Andrews, D. W. K., Shi, X., 2013a. Appendix to "Nonparametric inference based on conditional moment inequalities." Unpublished manuscript, Cowles Foundation, Yale University.
7. Andrews, D. W. K., Shi, X., 2013b. Inference based on conditional moment inequalities. Econometrica 81, 609-666.
8. Andrews, D. W. K., Shi, X., 2013c. Supplemental Material to "Inference based on conditional moment inequalities,"Econometrica 81, 609-666. Available on the Econometric Society website, www.econometricsociety.org/ecta/supmat/9370-Proofs.
9. Andrews, D. W. K., Soares, G., 2010. Inference for parameters defined by moment inequalities using generalized moment selection. Econometrica 78, 119-157.
10. Aradillas-López, A., Gandhi, A. Quint, D., 2013. Identification and testing in ascending auctions with unobserved heterogeneity. Econometrica 81, 489-534.
11. Armstrong, T. B., 2011a. Asymptotically exact inference in conditional moment inequality models. Unpublished manuscript, Department of Economics, Stanford University.
12. Armstrong, T. B., 2011b. Weighted KS statistics for inference on conditional moment inequalities. Unpublished manuscript, Department of Economics, Stanford University.
13. Beresteanu, A., Molchanov, I., Molinari, F., 2011. Sharp identification regions in models with convex moment predictions. Econometrica 79, 1785-1821.
14. Bierens, H., 1982. Consistent model specification tests. Journal of Econometrics 20, 105-134.
15. Blundell, R. , Gosling, A., Ichimura, H., Meghir, C., 2007. Changes in the distribution of male and female wages accounting for employment composition using bounds. Econometrica 75, 323-363.
16. Cattaneo, M. D., Crump, R. K., Jansson, M. 2010. Robust data-driven inference for density-weighted averages. Journal of the American Statistical Association 105, 1070-1083.
17. Cattaneo, M. D., Crump, R. K., Jansson, M. 2013. Small-bandwidth asymptotics for density-weighted averages. Econometric Theory, forthcoming.
18. Chernozhukov, V., Hong, H., Tamer, E., 2007. Estimation and confidence regions for parameter sets in econometric models. Econometrica 75, 1243-1284.
19. Chernozhukov, V., Lee, S., Rosen, A. M., 2013. Intersection bounds: estimation and inference. Econometrica 81, 667-737.
20. Chetverikov, V., 2011. Adaptive test of conditional moment inequalities. Unpublished manuscript, Department of Economics, M.I.T.
21. Ciliberto, F., Tamer, E., 2009. Market structure and multiple equilibria in the airline industry. Econometrica 77, 1791-1828.
22. Fan, Y., 2008. Confidence sets for parameters defined by conditional moment inequalities/equalities. Unpublished manuscript, Department of Economics, Vanderbilt University.
23. Fan, Y., Park, S. S., 2011. Bias-correction and confidence sets under IV and MIV assumptions. Unpublished manuscript, Department of Economics, Vanderbilt University.
24. Galichon, A., Henry, M., 2009. A test of non-identifying restrictions and confidence regions for partially identified parameters. Journal of Econometrics 152, 186-196.
25. Hall, P., 1993. On Edgeworth expansion and bootstrap confidence bands in nonparametric curve estimation. Journal of the Royal Statistical Society Series B (Methodological) 55, 291-304.
26. Hall, P., Schucany, W. R., 1989. A local cross-validation algorithm. Statistics and Probability Letters 8, 109-117.
27. Härdle, W., Mammen, E., 1993. Comparing nonparametric versus parametric regression fits. Annals of Statistics 21, 1926-1947.
28. Henry, M., Mourifié, I. 2012. Sharp bounds in the binary Roy model. Unpublished manuscript, Department of Economics, University of Montreal.
29. Hsu, Y.-C., 2011. Consistent tests for conditional treatment effects. Unpublished manuscript, Department of Economics, University of Missouri at Columbia.
30. Imbens, G., 2004. Nonparametric estimation of average treatment effects under exogeneity: a review. Review of Economics and Statistics 86, 4-29.
31. Kahn, S., Tamer, E., 2009. Inference on randomly censored regression models using conditional moment inequalities. Journal of Econometrics 152, 104-119.
32. Kiefer, N. M., Vogelsang, T. J., 2002. Heteroskedasticity-autocorrelation robust standard errors using the Bartlett kernel without truncation. Econometrica 70, 2093-2095.
33. Kiefer, N. M., Vogelsang, T. J., 2005. A new asymptotic theory for heteroskedasticityautocorrelation robust tests. Econometric Theory 21, 1130-1161.
34. Kim, K., 2008. Set estimation and inference with models characterized by conditional moment inequalities. Unpublished manuscript, Department of Economics, University of Minnesota.
35. Lee, S., Song, K., Whang, Y.-J., 2011. Testing functional inequalities. CEMMAP Working Paper CWP12/11, Institute for Fiscal Studies, University College London.
36. Lewbel, A., 2007. Endogenous selection or treatment model estimation. Journal of Econometrics 141, 777-806.
37. Menzel, K., 2009. Consistent estimation with many moment inequalities. Unpublished manuscript, Department of Economics, NYU.
38. Pollard, D., 1979. General chi-square goodness-of-fit tests with data-dependent cells. Z. Wahrscheinlichkeitstheorie verw. Gebeite 50, 317-331.
39. Pollard, D., 1990. Empirical Process Theory and Application. NSF-CBMS Regional Conference Series in Probability and Statistics, Vol. II. Institute of Mathematical Statistics, Hayward, CA.
40. Ponomareva, M., 2010. Inference in models defined by conditional moment inequalities with continuous covariates. Unpublished manuscript, Department of Economics, University of Western Ontario.
41. Ponomareva, M., Tamer, E. , 2011. Misspecification in moment inequality models: back to moment equalities? Econometrics Journal 14, 186-203.
42. Pratt, J. W., 1961. Length of confidence intervals. Journal of the American Statistical Association 56, 547-567.
43. Tamer, E., 2008. Partial Linear Model. In:Durlauf, S. N., Blume, L. E. (Eds.), The New Palgrave Dictionary of Economics. Palgrave Macmillan, New York.