Specification testing under moment inequalities

We provide a specification test for moment inequalities based on a dual characterization of the moment inequalities. For linear moment inequalities, the test is the asymptotic version of the multi-dimensional linear one-sided tests. For nonlinear moment inequalities, the implementation of the test is not practical because the dual characterization takes the form of a multi-dimensional nonlinear one-sided hypothesis. (c) 2007 Elsevier B.V. All rights reserved.