Inference for subvectors and other functions of partially identified parameters in moment inequality models

• 成果类型: Article
• 署名作者: Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia
• 署名单位: Duke University; Northwestern University; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE490
• 发表日期: 2017
• 页码: 1-38
• 关键词: partial identification; moment inequalities; subvector inference; Hypothesis Testing

摘要

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in) equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function selects a subvector of the parameter, such as a single component. The new inference method we propose controls asymptotic size uniformly over a large class of data distributions and improves upon the two existing methods that deliver uniform size control for this type of problem: projection-based and subsampling inference. Relative to projection-based procedures, our method presents three advantages: (i) it weakly dominates in terms of finite sample power, (ii) it strictly dominates in terms of asymptotic power, and (iii) it is typically less computationally demanding. Relative to subsampling, our method presents two advantages: (i) it strictly dominates in terms of asymptotic power (for reasonable choices of subsample size), and (ii) it appears to be less sensitive to the choice of its tuning parameter than subsampling is to the choice of subsample size.