10 novembre 2020, 15h30–17h00
Salle Zoom
Econometrics and Empirical Economics Seminar
Résumé
Standard tests and confidence sets in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty.This paper introduces tests and confidence sets that provide correct asymptotic inference for a pseudo-true parameter in such scenarios, and hence, do not suffer from spurious precision.