Artikel
Inference in nonparametric/semiparametric moment equality models with shape restrictions
This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which controls size uniformly and applies to both point-identified and partially identified models. The test can be inverted to construct confidence sets after imposing the shape restriction. Monte Carlo experiments show the finite-sample properties of this method. In an empirical illustration, I apply the method to ascending auctions held by the US Forest Service and show that imposing shape restrictions can significantly improve inference.
- Language
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Englisch
- Bibliographic citation
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 11 ; Year: 2020 ; Issue: 2 ; Pages: 609-636 ; New Haven, CT: The Econometric Society
- Classification
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Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
- Subject
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Nonparametric/semiparametric models
partial identification
shape restrictions
unconditional moments
- Event
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Geistige Schöpfung
- (who)
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Zhu, Yu
- Event
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Veröffentlichung
- (who)
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The Econometric Society
- (where)
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New Haven, CT
- (when)
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2020
- DOI
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doi:10.3982/QE1023
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Zhu, Yu
- The Econometric Society
Time of origin
- 2020
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