Commands for testing conditional moment inequalities and equalities

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]).