Constrained Conditional Moment Restriction Models
Victor Chernozhukov, Whitney K. Newey, Andres Santos
Econometrica · 2023 · Volume 91 · Issue 2
Abstract
Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper, we provide a general procedure for inference under shape restrictions in identified and partially identified models defined by conditional moment restrictions. Our test statistics and proposed inference methods are based on the minimum of the generalized method of moments (GMM) objective function with and without shape restrictions. Uniformly valid critical values are obtained through a bootstrap procedure that approximates a subset of the true local parameter space. In an empirical analysis of the effect of childbearing on female labor supply, we show that employing shape restrictions in linear instrumental variables (IV) models can lead to shorter confidence regions for both local and average treatment effects. Other applications we discuss include inference for the variability of quantile IV treatment effects and for bounds on average equivalent variation in a demand model with general heterogeneity.
Keywords
Shape restrictions, inference on functionals, conditional moment (in)equality restrictions, instrumental variables, nonparametric and semiparametric models, Banach space, Banach lattice, Koltchinskii coupling
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