A simple two-step method for testing moment inequalities with an application to inference in partially identified models

Arbeitspapier

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 very 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 90

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Semiparametric and Nonparametric Methods: General
• Subject: Bonferonni inequality ; bootstrap ; moment inequalities ; partial identification ; uniform validity ; Statistische Methode ; Bootstrap-Verfahren

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Romano, Joseph P. ; Shaikh, Azeem M. ; Wolf, Michael
• Event: Veröffentlichung
• (who): University of Zurich, Department of Economics
• (where): Zurich
• (when): 2012

Further information

• DOI: doi:10.5167/uzh-64440
• Handle: http://hdl.handle.net/10419/77602
• Last update: 10.03.2025, 11:43 AM CET