Constrained Conditional Moment Restriction Models

Understand

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.