Asymptotically exact inference in conditional moment inequality models

@article{Armstrong2011AsymptoticallyEI,
  title={Asymptotically exact inference in conditional moment inequality models},
  author={Timothy B. Armstrong},
  journal={Journal of Econometrics},
  year={2011},
  volume={186},
  pages={51-65}
}
Multiscale Adaptive Inference on Conditional Moment Inequalities
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose
Multiscale Adaptive Inference on Conditional Moment Inequalities
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose
Multiscale Adaptive Inference on Conditional Moment Inequalities
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose
On the Choice of Test Statistic for Conditional Moment Inequalities
This paper derives asymptotic approximations to the power of Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case
On the Choice of Test Statistic for Conditional Moment Inequalities
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for
On the Choice of Test Statistic for Conditional Moment Inequalities
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the
Nonparametric Inference Based on Conditional Moment Inequalities
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified.
ADAPTIVE TESTS OF CONDITIONAL MOMENT INEQUALITIES
Many economic models yield conditional moment inequalities that can be used for inference on parameters of these models. In this paper, I construct new tests of parameter hypotheses in conditional
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References

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This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose
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In this paper, we propose an instrumental variable approach to constructing confidence sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities. We show that
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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
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The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class
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This paper introduces a novel bootstrap procedure to perform inference in a wide class of partially identified econometric models. We consider econometric models defined by finitely many weak moment
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In this paper, the author constructs a new test of conditional moment inequalities based on studentised kernel estimates of moment functions. The test automatically adapts to the unknown smoothness
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This paper considers inference based on a test statistic that has a limit distribution that is discontinuous in a parameter. The paper shows that subsampling and m out of n bootstrap tests based on
Inference on endogenously censored regression models using conditional moment inequalities
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