The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are shown to have correct asymptotic size in a uniform sense and are shown not to be asymptotically conservative.
MLA
Andrews, Donald W. K., and Gustavo Soares. “Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection.” Econometrica, vol. 78, .no 1, Econometric Society, 2010, pp. 119-157, https://doi.org/10.3982/ECTA7502
Chicago
Andrews, Donald W. K., and Gustavo Soares. “Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection.” Econometrica, 78, .no 1, (Econometric Society: 2010), 119-157. https://doi.org/10.3982/ECTA7502
APA
Andrews, D. W. K., & Soares, G. (2010). Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection. Econometrica, 78(1), 119-157. https://doi.org/10.3982/ECTA7502
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