This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula. We also propose critical values based on...

This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...

Projection-based methods of inference on subsets of parameters are useful for obtaining tests that do not over-reject the true parameter values. However, they are also often criticized for being conservative. We show that the usual method of projection can be modified to obtain tests that are as...

This paper derives asymptotic approximations to the power of Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS)...

We propose an econometric procedure to test for the presence of overconfidence using data collected by ranking experiments. Our approach applies the techniques from the moment inequality literature. Although a ranking experiment is a typical way to collect data for the analysis of...

This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS) tests, these...

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula, and to prove the asymptotic validity of a...

Cross-sectional asset pricing tests with GMM can generate spuriously high explanatory power for factor models when the moment conditions are specified such that they allow the estimated factor means to substantially deviate from the observed sample averages. In fact, by shifting the weights on...

In this paper, we construct confidence sets for models defined by many conditional moment inequalities/equalities. The conditional moment restrictions in the models can be finite, countably infinite, or uncountably infinite. To deal with the complication brought about by the vast number of...