模型不规范下矩不等式模型对伪精度的鲁棒性推断

ERN: Model Construction & Estimation (Topic) Pub Date : 2019-07-08 DOI:10.2139/ssrn.3416831

D. Andrews, S. Kwon

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引用次数: 15

摘要

矩不等式文献中的标准检验和置信集对模型错误规范不具有鲁棒性，因为当识别集为空时，它们表现出虚假的精度。本文介绍了在这种情况下为伪真参数提供正确渐近推断的测试和置信集，因此，不会受到虚假精度的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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ERN: Model Construction & Estimation (Topic)

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