【Metrics Seminar】A Simple Specification Test for Models with Many Conditional Moment Inequalities
2023/06/27
研討會日期 : 2023-06-27
時間 : 10:30
主講人 : Professor Yuanyuan Wan (宛圓淵)
地點 : Conference Room B110
演講者簡介 : Professor Yuanyuan Wan received his PhD in Economics from The Pennsylvania State University in 2011. He is currently an Associate Professor at Toronto University. His research insterests are econometrics and applied econometrics.
演講摘要 : This paper proposes a simple specification test for partially identified models with a large or possibly uncountably infinite number of conditional moment (in)equalities. The approach is valid under weak assumptions, allowing for both weak identification and non-differentiable moment conditions. Computational simplifications are obtained by reusing certain expensiveto-compute components of the test statistic when constructing the critical values. Because of the weak assumptions, the procedure faces a new set of interesting theoretical issues which we show can be addressed by a sample-splitting procedure that runs multiple tests of the same null
hypothesis. Our resulting specification test controls size uniformly over a large class of data generating processes, and has power tending to 1 for fixed alternatives. Finally, the testing procedure is demonstrated in two simulation exercises.
