VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES

By Donald W. K. Andrews, Patrik Guggenberger. Econometric Theory, 2009

257 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/acb17dad2ed56d66384cdeab30a4f86e8acafa9d

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Citations in the corpus

Direct and indirect treatment effects–causal chains and mediation analysis with instrumental variables (2014, methodology): “HM14 refers to the mean-based tests of Huber and (16)See for instance Andrews and Soares (2010) and Chen and Szroeter (2012) for a more detailed discussion of moment selection based on pre-estimating which constraints are (almost) violated.”
Nonparametric Analysis of Random Utility Models (2016, methodology): “Existing proposals for testing in moment inequality models (Andrews and Guggenberger 2009, Andrews and Soares 2010, Bugni, Canay, and Shi 2015, Romano and Shaikh 2010) use a similar test statistic but work with H-representations.”
Optimal inference in a class of regression models (2015, unknown): “Here our efficiency bounds imply that the scope for efficiency improvements from CIs formed after model selection (Andrews and Guggenberger (2009), McCloskey (2017)) is severely limited unless asymmetric or non-convex restrictions are imposed, and they also limit the scope for improvement under…”
Testing Many Moment Inequalities (2013, background): “…(unconditional) moment inequalities is large; see, for example, Chernozhukov, Hong, and Tamer (2007), Romano and Shaikh (2008), Rosen (2008), Andrews and Guggenberger (2009), Andrews and Soares (2010), Canay (2010), Bugni (2011), Andrews and Jia-Barwick (2012), and Romano, Shaikh, and Wolf…”
Adaptive test of conditional moment inequalities (2011, background): “(2007), Romano and Shaikh (2008), Rosen (2008), Andrews and Guggenberger (2009), Andrews and Han (2009), Andrews and Soares (2010), Bugni (2010), Canay (2010), Pakes (2010), and Romano and Shaikh (2010). There is also a large literature on partial identification which is closely related to that on m”
Generic results for establishing the asymptotic size of confidence sets and tests (2020, methodology): “The results in Andrews and Guggenberger (2009c) do not cover48 bootstrap or conditional critical values.”
Revealed Preferences in a Heterogeneous Population (2014, background): “While we do not provide a conceptual innovation to this field, it is interesting to note that mechanical application of existing approaches, in particular, of Andrews and Soares (2010), can be improved on by exploiting the specific structure of our bounds.”
Weighted KS Statistics for Inference on Conditional Moment Inequalities (2011, background): “Papers that treat this problem include Andrews, Berry, and Jia (2004), Andrews and Jia (2008), Andrews and Guggenberger (2009), Andrews and Soares (2010), Chernozhukov, Hong, and Tamer (2007), Romano and Shaikh (2010), Romano and Shaikh (2008), Bugni (2010), Beresteanu and Molinari (2008), Moon and…”
More on Confidence Intervals for Partially Identified Parameters (2008, methodology): “Other methods that were developed independently of, and sometimes subsequently to, the present approach (Andrews and Guggenberger 2007, Andrews and Soares 2007, Fan and Park 2007) will work more generally.”
Bonferroni-Based Size-Correction for Nonstandard Testing Problems (2017, unknown): “…and Pötscher (2005) in the context of inference after model selection, Stoye (2009) in the context of inference on partially identified parameters and Andrews and Guggenberger (2009a) (AG henceforth) in the context of inference on the autoregressive parameter in a first-order autoregressive model.”