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Standard tests and confidence sets in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a...
Persistent link: https://www.econbiz.de/10012861472
Standard tests and confidence sets in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a...
Persistent link: https://www.econbiz.de/10012867020
Persistent link: https://www.econbiz.de/10001244371
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This paper considers the problem of constructing tests and confidence intervals (CIs) that have correct asymptotic size in a broad class of non-regular models. The models considered are non-regular in the sense that standard test statistics have asymptotic distributions that are discontinuous in...
Persistent link: https://www.econbiz.de/10012777505
This paper considers inference based on a test statistic that has a limit distribution that is discontinuous in a nuisance parameter or the parameter of interest. The paper shows that subsample, b_n lt; n bootstrap, and standard fixed critical value tests based on such a test statistic often...
Persistent link: https://www.econbiz.de/10012777507
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