Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/111187
Authors: 
Romano, Joseph P.
Shaikh, Azeem M.
Wolf, Michael
Year of Publication: 
2014
Series/Report no.: 
Working Paper Series, University of Zurich, Department of Economics 90 [rev.]
Abstract: 
This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are "negative." A Bonferonni-type correction is used to account for the fact that with some probability the moments may not lie in the confidence region. It is shown that the test controls size uniformly over a large class of distributions for the observed data. An important feature of the proposal is that it remains computationally feasible, even when the number of moments is very large. The finite-sample properties of the procedure are examined via a simulation study, which demonstrates, among other things, that the proposal remains competitive with existing procedures while being computationally more attractive.
Subjects: 
Bonferonni inequality
bootstrap
moment inequalities
partial identification
uniform validity
JEL: 
C12
C14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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