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Multiscale adaptive inference on conditional moment inequalities. (English) Zbl 1431.62181
Summary: This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula, and to prove the asymptotic validity of a modified bootstrap procedure. The asymptotic distribution is extreme value, and the proof uses new techniques to overcome several technical obstacles. The test detects local alternatives that approach the identified set at the best rate among available tests in a broad class of models, and is adaptive to the smoothness properties of the data generating process. Our results also have implications for the use of moment selection procedures in this setting. We provide a Monte Carlo study and an empirical illustration to inference in a regression model with endogenously censored and missing data.

##### MSC:
 62G10 Nonparametric hypothesis testing 62G20 Asymptotic properties of nonparametric inference 62E20 Asymptotic distribution theory in statistics 62P20 Applications of statistics to economics
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