Specification testing under moment inequalities

Patrik Guggenberger, Jinyong Hahn, Kyooil Kim

Research output: Contribution to journalArticle

11 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)375-378
Number of pages4
JournalEconomics Letters
Volume99
Issue number2
DOIs
StatePublished - May 1 2008

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Specification testing
Moment inequalities
Specification test

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

Guggenberger, Patrik ; Hahn, Jinyong ; Kim, Kyooil. / Specification testing under moment inequalities. In: Economics Letters. 2008 ; Vol. 99, No. 2. pp. 375-378.
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Specification testing under moment inequalities. / Guggenberger, Patrik; Hahn, Jinyong; Kim, Kyooil.

In: Economics Letters, Vol. 99, No. 2, 01.05.2008, p. 375-378.

Research output: Contribution to journalArticle

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