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Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models

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  • Gregory Cox
  • Xiaoxia Shi

Abstract

We propose a simple test for moment inequalities that has exact size in normal models with known variance and has uniformly asymptotically exact size more generally. The test compares the quasi-likelihood ratio statistic to a chi-squared critical value, where the degree of freedom is the rank of the inequalities that are active in finite samples. The test requires no simulation and thus is computationally fast and especially suitable for constructing confidence sets for parameters by test inversion. It uses no tuning parameter for moment selection and yet still adapts to the slackness of the moment inequalities. Furthermore, we show how the test can be easily adapted for inference on subvectors for the common empirical setting of conditional moment inequalities with nuisance parameters entering linearly.

Suggested Citation

  • Gregory Cox & Xiaoxia Shi, 2019. "Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models," Papers 1907.06317, arXiv.org, revised Aug 2020.
  • Handle: RePEc:arx:papers:1907.06317
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    References listed on IDEAS

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    1. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(3), pages 669-709, June.
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    3. Donald W. K. Andrews & Panle Jia Barwick, 2012. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Econometrica, Econometric Society, vol. 80(6), pages 2805-2826, November.
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    5. Shi, Xiaoxia & Shum, Matthew, 2015. "Simple Two-Stage Inference For A Class Of Partially Identified Models," Econometric Theory, Cambridge University Press, vol. 31(3), pages 493-520, June.
    6. Honoré,Bo & Pakes,Ariel & Piazzesi,Monika & Samuelson,Larry (ed.), 2017. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9781316510520, October.
    7. Honoré,Bo & Pakes,Ariel & Piazzesi,Monika & Samuelson,Larry (ed.), 2017. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9781108414982, October.
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    9. Michael Perlman & Lang Wu, 2006. "Some Improved Tests for Multivariate One-Sided Hypotheses," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 64(1), pages 23-39, August.
    10. Honoré,Bo & Pakes,Ariel & Piazzesi,Monika & Samuelson,Larry (ed.), 2017. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9781108400022, October.
    11. Wolak, Frank A, 1991. "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, Econometric Society, vol. 59(4), pages 981-995, July.
    12. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, vol. 146(1), pages 107-117, September.
    13. Donald W. K. Andrews & Gustavo Soares, 2010. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica, Econometric Society, vol. 78(1), pages 119-157, January.
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    Cited by:

    1. Isaiah Andrews & Jonathan Roth & Ariel Pakes, 2023. "Inference for Linear Conditional Moment Inequalities," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(6), pages 2763-2791.
    2. Abel Brodeur & Nikolai M. Cook & Jonathan S. Hartley & Anthony Heyes, 2024. "Do Preregistration and Preanalysis Plans Reduce p-Hacking and Publication Bias? Evidence from 15,992 Test Statistics and Suggestions for Improvement," Journal of Political Economy Microeconomics, University of Chicago Press, vol. 2(3), pages 527-561.
    3. Opatrny, Matej & Havranek, Tomas & Irsova, Zuzana & Scasny, Milan, 2023. "Publication Bias and Model Uncertainty in Measuring the Effect of Class Size on Achievement," CEPR Discussion Papers 18159, C.E.P.R. Discussion Papers.
    4. Evan K. Rose & Yotam Shem-Tov, 2021. "On Recoding Ordered Treatments as Binary Indicators," Papers 2111.12258, arXiv.org, revised Mar 2024.
    5. Hsieh, Yu-Wei & Shi, Xiaoxia & Shum, Matthew, 2022. "Inference on estimators defined by mathematical programming," Journal of Econometrics, Elsevier, vol. 226(2), pages 248-268.
    6. Shuowen Chen & Hiroaki Kaido, 2022. "Robust Tests of Model Incompleteness in the Presence of Nuisance Parameters," Papers 2208.11281, arXiv.org, revised Sep 2023.

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