On the choice of test statistic for conditional moment inequalities

A-Tier
Journal: Journal of Econometrics
Year: 2018
Volume: 203
Issue: 2
Pages: 241-255

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper derives asymptotic approximations to the power of Cramer–von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov–Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting function and, for tests based on kernel estimates, kernel bandwidth. The results show that, in the setting considered here, KS tests are preferred to CvM tests, and that a truncated variance weighting is preferred to bounded weightings.

Technical Details

RePEc Handle
repec:eee:econom:v:203:y:2018:i:2:p:241-255
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-24