Supplemental Material to Inference for Parameters De ned by Moment Inequalities : A Recommended Moment Selection Procedure

@inproceedings{Andrews2008SupplementalMT,
  title={Supplemental Material to Inference for Parameters De ned by Moment Inequalities : A Recommended Moment Selection Procedure},
  author={Donald W. K. Andrews},
  year={2008}
}
This paper is concerned with tests and confidence intervals for partially-identified parameters that are defined by moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation methods (i.e., asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare a wide variety of these methods. We provide a recommended test statistic, moment selection critical value method, and implementation method. In… CONTINUE READING

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