Not logged in.
Quick Search - Contribution
Contribution Details
Type | Working Paper |
Scope | Discipline-based scholarship |
Title | A practical two-step method for testing moment inequalities |
Organization Unit | |
Authors |
|
Language |
|
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 |
Related URLs | |
PDF File | Download from ZORA |
Export |
BibTeX
EP3 XML (ZORA) |
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" |