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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title A practical two-step method for testing moment inequalities
Organization Unit
Authors
  • Joseph P Romano
  • Azeem M Shaikh
  • Michael Wolf
Language
  • English
Institution University of Zurich
Series Name Working paper series / Department of Economics
Number 90
ISSN 1664-7041
Number of Pages 24
Date 2014
Abstract Text 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.
Official URL http://www.econ.uzh.ch/static/wp/econwp090.pdf
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Keywords Bonferonni inequality, bootstrap, moment inequalities, partial identification, uniform validity, Bonferroni-Ungleichung, Bootstrap-Statistik, Statistik
Additional Information Revised version ; Former title: "A simple two-step method for testing moment inequalities with an application to inference in partially identified models"