Resumen de Commands for full-vector and subvector inference in moment-inequality models

Gabrielle K.W. Wong, Gary Fernando Cox Toala, Xiaoxia Shi.

• In this article, we present two commands—ccscc and sccintreg—that conduct parameter inference in moment-inequality models, which are defined by inequality moment conditions. Such models have gained popularity in the economics literature because of the flexibility they offer. Examples include missing- data models with nonrandom missingness and game-theoretic models with multiple equilibriums. Parameters in such models often cannot be consistently estimated. Nevertheless, valid confidence intervals can be constructed by inverting a hypothesis test for the compatibility of a parameter value with the model. The ccscc command implements the computationally easy tests proposed by Cox and Shi (2023, Review of Economic Studies 90: 201-228). The sccintreg command builds on ccscc to compute marginal confidence intervals for each parameter in an interval- outcome linear regression model. We demonstrate the use of our commands in two simulation examples