This paper is concerned with tests and confi dence intervals for parameters that arenot necessarily identifi ed and are de fined by moment inequalities. In the literature,different test statistics, critical value methods, and implementation methods (i.e., theasymptotic distribution versus the bootstrap) have been proposed. In this paper, wecompare these methods. We provide a recommended test statistic, moment selectioncritical value method, and implementation method. We provide data-dependent procedures for choosing the key moment selection tuning parameter kappa and a size-correctionfactor eta.
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