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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
Wooyoung Kim
University of Wisconsin–Madison
Madison, WI
Xiaoxia Shi
University of Wisconsin–Madison
Madison, WI
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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