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Inference For Parameters Defined By Moment Inequalities: A Recommended Moment Selection Procedure

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Executive Summary

This paper is concerned with tests and confidence intervals for partially-identified parameters that are defined by moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation methods have been proposed. In this paper, the authors compare a wide variety of these methods. They provide a recommended test statistic, moment selection critical value method, and implementation method. In addition, they provide a data-dependent procedure for choosing the key moment selection tuning parameter ? and a data-dependent size-correction factor

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