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

By: Contributor(s): Material type: TextTextSeries: 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: 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 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

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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