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Implementing intersection bounds in Stata

Authors: Victor Chernozhukov , Wooyoung Kim , Sokbae Lee and Adam Rosen
Date: 16 August 2013
Type: cemmap Working Papers, CWP38/13
doi: 10.1920/wp.cem.2013.3813

Abstract

We present the clrbound, clr2bound, clr3bound and clrtest commands for estimation and inference developed by Chernozhukov et al. (2013). The commands clrbound, clr2bound and clr3bound provide bound estimates that can be used directly for estimation or to construct asymptotically valid confidence sets. The command clrbound provides bound estimates for one-sided lower or upper intersection bounds on a parameter, while clr2bound and clr3bound provide two-sided bound estimates based on both lower and upper intersection bounds. clr2bound uses Bonferroni's inequality to construct two-sided bounds, whereas clr3bound inverts a hypothesis test. The former can be used to perform asymptotically valid inference on the identified set or the parameter, while the latter can be used to provide asymptotically valid and generally tighter confidence intervals for the parameter. clrtest performs an intersection bound test of the hypothesis that a collection of lower intersection bounds is no greater than zero. Inversion of this test can be used to construct confidence sets based on conditional moment inequalities as described in Chernozhukov et al. (2013). The commands include parametric, series and local linear estimation procedures and can be installed from within Stata by typing 'ssc install clrbound'.

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New version: Victor Chernozhukov , Wooyoung Kim , Sokbae Lee and Adam Rosen ,May 2014,  Implementing intersection bounds in Stata,  cemmap Working Papers ,CWP25/14 ,Cemmap

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