4.4 Article

Commands for testing conditional moment inequalities and equalities

Journal

STATA JOURNAL
Volume 17, Issue 1, Pages 56-72

Publisher

STATA PRESS
DOI: 10.1177/1536867X1701700104

Keywords

st0467; cmi_test; cmi_interval; conditional moment inequalities and equalities; confidence interval; uniformly asymptotically valid test

Funding

  1. Divn Of Social and Economic Sciences
  2. Direct For Social, Behav & Economic Scie [1656313] Funding Source: National Science Foundation

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In this article, we present two commands (cmi_test and cmi_interval) to implement the testing and inference methods for conditional moment inequality or equality models proposed in Andrews and Shi (2013, Econometrica 81: 609-666). The cmi_test command tests the validity of a finite number of conditional moment equalities or inequalities. This test returns the value of the test statistic, the critical values at significance levels 1%, 5%, and 10%, and the p-value. The cmi_interval command returns the confidence interval for a one-dimensional parameter defined by intersection bounds. We obtain this confidence interval by inverting cmi_test. All procedures implemented are uniformly asymptotically valid under appropriate conditions (specified in Andrews and Shi [2013]).

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