Published in:Cowles Foundation Discussion Paper ; No. 2010R
Extent:
1 Online-Ressource (82 p)
Language:
English
DOI:
10.2139/ssrn.2772179
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 28, 2016 erstellt
Description:
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 in finite, or uncountably in finite. To deal with the complication brought about by the vast number of moment restrictions, we exploit the manageability (Pollard (1990)) of the class of moment functions. We verify the manageability condition in five examples from the recent partial identification literature. The proposed confidence sets are shown to have correct asymptotic size in a uniform sense and to exclude parameter values outside the identified set with probability approaching one. Monte Carlo experiments for a conditional stochastic dominance example and a random-coefficients binary-outcome example support the theoretical results