Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models
矩不等式模型中全向量与子向量推断的简便自适应精确尺寸检验
Abstract We propose a simple test for moment inequalities that has exact size in normal models with known variance and has uniformly asymptotically exact size under asymptotic normality. The test compares the quasi-likelihood ratio statistic to a chi-squared critical value, where the degree of freedom is the rank of the inequalities that are active in finite samples. The test requires no simulation and thus is computationally fast and especially suitable for constructing…