This paper was previously circulated under the title “Asymptotic Distortions in Locally Misspecified Moment Inequality Models.” We thank a co-editor and three referees for very helpful comments and suggestions. We also thank seminar participants at various universities, the 2010 Econometric Society World Congress, the Cemmap/Cowles “Advancing Applied Microeconometrics” conference, the Econometrics Jamboree at Duke, and the 2011 Econometric Society North American Winter Meeting for helpful comments. Bugni, Canay, and Guggenberger thank the National Science Foundation for research support via Grants SES-1123771, SES-1123586, and SES-1021101, respectively. Guggenberger also thanks the Alfred P. Sloan Foundation for a 2009–2011 fellowship.
Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models
Version of Record online: 25 JUL 2012
© 2012 The Econometric Society
Volume 80, Issue 4, pages 1741–1768, July 2012
How to Cite
Bugni, F. A., Canay, I. A. and Guggenberger, P. (2012), Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models. Econometrica, 80: 1741–1768. doi: 10.3982/ECTA9604
- Issue online: 25 JUL 2012
- Version of Record online: 25 JUL 2012
- Manuscript received October, 2010; final revision received June, 2011.
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