Commands for testing conditional moment inequalities and equalities
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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Donald W. K. Andrews, Wooyoung Kim, Xiaoxia Shi
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cmi_test, cmi_interval, conditional moment inequalities and equalities, confidence interval, uniformly asymptotically valid test
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