Estimation and Inference with Many Moment Inequalities ( Job Market Paper )

@inproceedings{Menzel2008EstimationAI,
  title={Estimation and Inference with Many Moment Inequalities ( Job Market Paper )},
  author={Konrad Menzel},
  year={2008}
}
In this paper, I consider estimation of the identified set and inference on a partially identified parameter when the number of moment inequalities is large relative to sample size. Many applications in the recent literature on set estimation have this feature examples discussed in this paper include set-identified instrumental variables models, inference under conditional moment inequalities, and dynamic games. I analyze weak (set) identification from a large number of moment inequalities and… CONTINUE READING

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