Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities
Andrews, Donald W. K.
Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities created by Donald W. K. Andrews and Patrik Guggenberger - Economic theory Volume 669, number 709 .
This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and “plug-in asymptotic” tests and confidence intervals for such parameters. Establishing uniform asymptotic validity is crucial in moment inequality problems because the pointwise asymptotic distributions of the test statistics of interest have discontinuities as functions of the true distribution that generates the observations.
02664666
Estimation theory--Statistical inference--Scientific modelling
Method of moments
HB139.T52 ECO
Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities created by Donald W. K. Andrews and Patrik Guggenberger - Economic theory Volume 669, number 709 .
This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and “plug-in asymptotic” tests and confidence intervals for such parameters. Establishing uniform asymptotic validity is crucial in moment inequality problems because the pointwise asymptotic distributions of the test statistics of interest have discontinuities as functions of the true distribution that generates the observations.
02664666
Estimation theory--Statistical inference--Scientific modelling
Method of moments
HB139.T52 ECO