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Discussion Paper

Inference in Moment Inequality Models That Is Robust to Spurious Precision under Model Misspecification

Standard tests and condence sets in the moment inequality literature are not robust to model misspecifcation in the sense that they exhibit spurious precision when the identifed set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a pseudo-true parameter in such scenarios, and hence, do not suffer from spurious precision.