A PRACTICAL TWO-STEP METHOD FOR TESTING MOMENT INEQUALITIES

• 成果类型: Article
• 署名作者: Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael
• 署名单位: Stanford University; University of Chicago; University of Zurich
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA11011
• 发表日期: 2014
• 页码: 1979-2002
• 关键词: IDENTIFIED ECONOMETRIC-MODELS; inference; parameters; bootstrap; set; selection; validity; size

摘要

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 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.