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Commands for testing conditional moment inequalities and equalities

Author

Listed:
  • Donald W. K. Andrews

    (Yale University)

  • Wooyoung Kim

    (University of Wisconsin–Madison)

  • Xiaoxia Shi

    (University of Wisconsin–Madison)

Abstract

In this article, we present two commands (cmi test and cmi interval) to implement the testing and inference methods for conditional moment inequality or equality models proposed in Andrews and Shi (2013, Econometrica 81: 609– 666). The cmi test command tests the validity of a finite number of conditional moment equalities or inequalities. This test returns the value of the test statis- tic, the critical values at significance levels 1%, 5%, and 10%, and the p-value. The cmi interval command returns the confidence interval for a one-dimensional parameter defined by intersection bounds. We obtain this confidence interval by in- verting cmi test. All procedures implemented are uniformly asymptotically valid under appropriate conditions (specified in Andrews and Shi [2013]).

Suggested Citation

  • Donald W. K. Andrews & Wooyoung Kim & Xiaoxia Shi, 2017. "Commands for testing conditional moment inequalities and equalities," Stata Journal, StataCorp LP, vol. 17(1), pages 56-72, March.
    • Handle: RePEc:tsj:stataj:v:17:y:2017:i:1:p:56-72
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    Citations

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    Cited by:

    1. Francesca Molinari, 2020. "Microeconometrics with Partial Identi?cation," CeMMAP working papers CWP15/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Kyunghoon Ban & Désiré Kédagni, 2022. "Nonparametric bounds on treatment effects with imperfect instruments [Instrument-based estimation with binarized treatments: Issues and tests for the exclusion restriction]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 477-493.
    3. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Martin E Andresen & Martin Huber, 2021. "Instrument-based estimation with binarised treatments: issues and tests for the exclusion restriction," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 536-558.

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