Inference in Moment Inequality Models That Is Robust to Spurious Precision under Model MisspecificationAuthor(s):
Publication Date: July 2019
Revision Date: October 2019
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.
Supplement pages: 86
Keywords: Asymptotics, Confidence set, Identification, Inference, Misspecification, Moment inequalities, Robust, Spurious precision, Test
JEL Classification Codes: C10, C12CFDP 2184