CFDP 2184

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

Publication Date: July 2019

Pages: 43

Abstract: 

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 pseudo-true parameter in such scenarios, and hence, do not suffer from spurious precision.

Supplemental material

Supplement pages: 82

Keywords: Asymptotics, Confidence set, Identification, Inference, Misspecification, Moment inequalities, Robust, Spurious precision, Test

JEL Classification Codes: C10, C12

JEL Classification Codes: C10C12