Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

The power of GMS tests is compared to that of subsampling, m out of n bootstrap, and plug-in asymptotic (PA) tests. The latter three procedures are the only general procedures in the literature that have been shown to have correct asymptotic size (in a uniform sense) for the moment inequality/equality model. GMS tests are shown to have asymptotic power that dominates that of subsampling, m out of n bootstrap, and PA tests. Subsampling and m out of n bootstrap tests are shown to have asymptotic power that dominates that of PA tests.