The primary concern of this article is the provision of definitions and tests for exogeneity appropriate for models defined through sets of conditional moment restrictions. These forms of exogeneity are expressed as additional conditional moment constraints and may be equivalently formulated as...

Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...

Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter. The consistency...

We consider nonlinear moment restriction semiparametric models where both the dimension of the parameter vector and the number of restrictions are divergent with sample size and an unknown smooth function is involved. We propose an estimation method based on the sieve generalized method of...

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...

This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...

This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...

This paper surveys some of the recent literature on inference in partially identified models. After reviewing some basic concepts, including the definition of a partially identified model and the identified set, we turn our attention to the construction of confidence regions in partially...