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The Stata Journal
Volume 17 Number 1: pp. 56-72

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Commands for testing conditional moment inequalities and equalities

Donald W. K. Andrews
Yale University
New Haven, CT
[email protected]
 Wooyoung Kim
University of Wisconsin–Madison
Madison, WI
[email protected]
Xiaoxia Shi
University of Wisconsin–Madison
Madison, WI
[email protected]
Abstract.  In this article, we present two commands (cmi_test and cmi_interval) to implement the testing and inference methods for conditional moment inequality or equality models proposed in Andrews and Shi (2013, Econometrica 81: 609–666). The cmi test command tests the validity of a finite number of conditional moment equalities or inequalities. This test returns the value of the test statistic, the critical values at significance levels 1%, 5%, and 10%, and the p-value. The cmi_interval command returns the confidence interval for a one-dimensional parameter defined by intersection bounds. We obtain this confidence interval by inverting cmi_test. All procedures implemented are uniformly asymptotically valid under appropriate conditions (specified in Andrews and Shi [2013]).
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