Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities created by Donald W. K. Andrews and Patrik Guggenberger

By:

Andrews, Donald W. K [author]

Contributor(s):

Guggenberger, Patrik [co author]

Material type: Text

TextSeries: Economic theory ; Volume 669, number 709Cambridge: Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Abstract: 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.

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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 25, no.3 (pages 669-709)	SP3258	Not for loan	For In House Use Only

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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.

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