Inference in nonparametric/semiparametric moment equality models with shape restrictions

• 成果类型: Article
• 署名作者: Zhu, Yu
• 署名单位: Bank of Canada
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1023
• 发表日期: 2020
• 页码: 609-636
• 关键词: Nonparametric/semiparametric models; partial identification; shape restrictions; unconditional moments

摘要

This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which controls size uniformly and applies to both point-identified and partially identified models. The test can be inverted to construct confidence sets after imposing the shape restriction. Monte Carlo experiments show the finite-sample properties of this method. In an empirical illustration, I apply the method to ascending auctions held by the US Forest Service and show that imposing shape restrictions can significantly improve inference.