期刊
JOURNAL OF ECONOMETRICS
卷 185, 期 1, 页码 259-282出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2014.10.013
关键词
Partial identification; Moment inequalities; Specification tests; Hypothesis testing
资金
- National Science Foundation [SES-1123771, SES-1123586]
- Divn Of Social and Economic Sciences
- Direct For Social, Behav & Economic Scie [1123586] Funding Source: National Science Foundation
- Divn Of Social and Economic Sciences
- Direct For Social, Behav & Economic Scie [1123771] Funding Source: National Science Foundation
- ESRC [ES/H021221/1] Funding Source: UKRI
- Economic and Social Research Council [ES/H021221/1] Funding Source: researchfish
This paper studies the problem of specification testing in partially identified models defined by moment (in)equalities. This problem has not been directly addressed in the literature, although several papers have suggested a test based on checking whether confidence sets for the parameters of interest are empty or not, referred to as Test BP. We propose two new specification tests, denoted Test RS and Test RC, that achieve uniform asymptotic size control and dominate Test BP in terms of power in any finite sample and in the asymptotic limit. (C) 2014 Elsevier B.V. All rights reserved.
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