期刊
ECONOMETRICA
卷 78, 期 1, 页码 119-157出版社
WILEY-BLACKWELL
DOI: 10.3982/ECTA7502
关键词
Asymptotic size; asymptotic power; confidence set; exact size; generalized moment selection; m out of n bootstrap; subsampling; moment inequalities; moment selection; test
类别
资金
- National Science Foundation [SES-0417911, SES-0751517]
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.
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