A Practical Two-Step Method for Testing Moment Inequalities
提出一种两步法检验有限个矩不等式，先构造矩的置信域，再用Bonferroni校正判断哪些矩为负，该方法在矩数量大时仍计算可行，且模拟显示其性能与现有方法相当但计算更优。
This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A Bonferonni-type correction is used to account for the fact that with some probability the moments may not lie in the confidence region. It is shown that the test controls size uniformly over a large class of distributions for the observed data. An important feature of the proposal is that it remains computationally feasible, even when the number of moments is large. The finite-sample properties of the procedure are examined via a simulation study, which demonstrates, among other things, that the proposal remains competitive with existing procedures while being computationally more attractive.