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Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities

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Abstract

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 the uniform asymptotic validity of subsampling, m out of n bootstrap, and "plug-in asymptotic" tests and confidence intervals for such parameters. Establishing uniform asymptotic validity is crucial in moment inequality problems because the test statistics of interest have discontinuities in their pointwise asymptotic distributions. The size results are quite general because they hold without specifying the particular form of the moment conditions -- only 2+delta moments finite are required. The results allow for i.i.d. and dependent observations and for preliminary consistent estimation of identified parameters.

Suggested Citation

  • Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1620, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:1620
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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    More about this item

    Keywords

    Asymptotic size; Confidence set; Exact size; m out of n bootstrap; Subsampling; Moment inequalities;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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