COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1840R Nonparametric Inference Based on Conditional Moment Inequalities Donald W. K. Andrews and Xiaoxia Shi December 2011 This paper develops methods of inference for nonparametric and
semiparametric parameters defined by conditional moment inequalities and/or equalities.
The parameters need not be identified. Confidence sets and tests are introduced. The
correct uniform asymptotic size of these procedures is established. The false coverage
probabilities and power of the CS's and tests are established for fixed alternatives and
some local alternatives. Finite-sample simulation results are given for a nonparametric
conditional quantile model with censoring and a nonparametric conditional treatment effect
model. The recommended CS/test uses a Cramér-von-Mises-type test statistic and employs a
generalized moment selection critical value. |
