Specification testing under moment inequalities

Patrik Guggenberger; Jinyong Hahn; Kyooil Kim

doi:10.1016/j.econlet.2007.09.002

Specification testing under moment inequalities

Patrik Guggenberger, Jinyong Hahn, Kyooil Kim

Economics

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

Abstract

We provide a specification test for moment inequalities based on a dual characterization of the moment inequalities. For linear moment inequalities, the test is the asymptotic version of the multi-dimensional linear one-sided tests. For nonlinear moment inequalities, the implementation of the test is not practical because the dual characterization takes the form of a multi-dimensional nonlinear one-sided hypothesis.

Original language	English (US)
Pages (from-to)	375-378
Number of pages	4
Journal	Economics Letters
Volume	99
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2007.09.002
State	Published - May 2008

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2007.09.002

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title = "Specification testing under moment inequalities",

abstract = "We provide a specification test for moment inequalities based on a dual characterization of the moment inequalities. For linear moment inequalities, the test is the asymptotic version of the multi-dimensional linear one-sided tests. For nonlinear moment inequalities, the implementation of the test is not practical because the dual characterization takes the form of a multi-dimensional nonlinear one-sided hypothesis.",

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AU - Guggenberger, Patrik

AU - Hahn, Jinyong

AU - Kim, Kyooil

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AB - We provide a specification test for moment inequalities based on a dual characterization of the moment inequalities. For linear moment inequalities, the test is the asymptotic version of the multi-dimensional linear one-sided tests. For nonlinear moment inequalities, the implementation of the test is not practical because the dual characterization takes the form of a multi-dimensional nonlinear one-sided hypothesis.

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DO - 10.1016/j.econlet.2007.09.002

M3 - Article

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VL - 99

SP - 375

EP - 378

JO - Economics Letters

JF - Economics Letters

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Specification testing under moment inequalities

Abstract

All Science Journal Classification (ASJC) codes

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