Code for “A User’s Guide for Inference in Models Defined by Moment Inequalities”
This code is not yet ready for public use.
This repository contains the code for the paper “A User’s Guide for Inference in Models Defined by Moment Inequalities” by Canay, Illanes, and Velez available here.
Structure
The code is organized into four folders:
data contains fake data intended to be similar to the data used in the empirical application in the paper. The data is stored in several csv files. The file data/README.md contains a description of the data.matlab contains the code for the Matlab implementation of the algorithms. The file matlab/README.md contains a description of the Matlab code.python contains the code for the Python implementation of the algorithms. The file python/README.md contains a description of the Python code.r contains the code for the R implementation of the algorithms. The file r/README.md contains a description of the R code.
In each of the three code implementations, there is one script for each table in the paper. This script produces the output for the table. The scripts are named table_1a.m (or .py or .R), table_1b.m, etc. The scripts are self-contained and can be run independently of each other.
Outputs
Each implementation produces outputs in a folder named _results. The results folder is not included in the repository. The results folder is created when the code is run. The results folder contains a language-specific output data file as well as a _results/tables-tex folder containing the tables from the paper. Each table in the paper is a separate file in the tables-tex folder. The tables are named table_1.tex, table_2.tex, etc. The tables are in LaTeX format and can be included in a LaTeX document. You can check the output of the code by comparing the tables in the results folder to the tables in the paper as well as in the Tables section of this README.
Tables
Matlab tables
Table 1
Panel A
| |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| $\bar{V}$=500 |
self-norm |
[-16.0 , 23.4] |
[-40.0 , 39.3] |
45.9 |
| |
bootstrap |
[-13.9 , 22.4] |
[-40.0 , 38.5] |
180.0 |
| $\bar{V}$=1000 |
self-norm |
[-40.0 , 29.1] |
[-40.0 , 63.1] |
54.4 |
| |
bootstrap |
[-40.0 , 26.8] |
[-40.0 , 60.2] |
216.3 |
Panel B
| |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| $\bar{V}$=500 |
self-norm |
[-14.3 , 22.6] |
[-40.0 , 35.9] |
5.1 |
| |
bootstrap |
[-13.1 , 22.1] |
[-40.0 , 34.8] |
13.1 |
| $\bar{V}$=1000 |
self-norm |
[-40.0 , 28.3] |
[-40.0 , 57.4] |
4.2 |
| |
bootstrap |
[-40.0 , 26.6] |
[-40.0 , 54.7] |
12.8 |
Table 2
| |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| $\bar{V}$=500 |
self-norm |
[-21.0 , 17.1] |
[-40.0 , 39.1] |
15.1 |
| |
bootstrap |
[-16.0 , 14.6] |
[-40.0 , 36.6] |
41.5 |
| $\bar{V}$=1000 |
self-norm |
[-40.0 , 17.0] |
[-40.0 , 62.8] |
14.0 |
| |
bootstrap |
[-40.0 , 13.9] |
[-40.0 , 55.1] |
41.5 |
Table 3
| Test Stat. |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| CCK |
self-norm |
$14.2^{\dagger}$ |
[-40.0 , 12.8] |
25.0 |
| RC-CCK |
self-norm |
[-35.4 , 44.0] |
[-40.0 , 13.8] |
36.8 |
| RC-CCK |
bootstrap |
[-35.6 , 43.3] |
[-40.0 , 13.0] |
42.7 |
| RC-CCK |
SPUR1 |
[-39.2 , 53.2] |
[-40.0 , 18.4] |
54.4 |
Table 4
| |
|
|
|
|
|
| |
parameter |
linear |
quadratic |
linear |
quadratic |
| |
$\theta_{1,1}$ |
[ -22.2 , 43.7] |
[ -22.4 , 76.7] |
[ -40.0 , 49.6] |
[ -40.0 , 82.0] |
| Coca |
$\theta_{1,2}$ |
[ -20.0 , 50.0] |
[ -20.0 , 50.0] |
[ -20.0 , 50.0] |
[ -20.0 , 50.0] |
| Cola |
$\theta_{1,3}$ |
[ 0.0 , 0.0] |
[ -10.0 , 10.0] |
[ 0.0 , 0.0] |
[ -10.0 , 10.0] |
| |
$\theta_1(\mu)$ |
[ -79.9 , 133.7] |
[ -167.8 , 157.5] |
[ -100.0 , 134.4] |
[ -190.0 , 195.3] |
| Energy |
$\theta_{2,1}$ |
[ -40.0 , 53.6] |
[ -40.0 , 67.6] |
[ -40.0 , 78.2] |
[ -40.0 , 91.6] |
| Brands |
$\theta_{2,2}$ |
[ -20.0 , 50.0] |
[ -20.0 , 50.0] |
[ -20.0 , 50.0] |
[ -20.0 , 50.0] |
| |
$\theta_{2,3}$ |
[ 0.0 , 0.0] |
[ -10.0 , 10.0] |
[ 0.0 , 0.0] |
[ -10.0 , 10.0] |
| |
$\theta_2(\mu)$ |
[ -75.1 , 99.0] |
[ -105.8 , 119.9] |
[ -75.1 , 126.0] |
[ -105.8 , 142.7] |
| Comp. time |
|
11.0 |
11.9 |
8.6 |
8.7 |
R tables
Table 1
Panel A
| $\bar{V}$ |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| 500 |
SN2S |
[-16.0, 23.0] |
[-40.0, 39.0] |
6.18 |
| 500 |
EB2S |
[-12.0, 22.0] |
[-40.0, 38.0] |
586.89 |
| 1000 |
SN2S |
[-40.0, 29.0] |
[-40.0, 63.0] |
5.95 |
| 1000 |
EB2S |
[-40.0, 26.0] |
[-40.0, 60.0] |
517.84 |
Panel B
| $\bar{V}$ |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| 500 |
SN2S |
[-14.3, 22.6] |
[-40.0, 35.9] |
0.99 |
| 500 |
EB2S |
[-11.9, 21.7] |
[-40.0, 34.6] |
39.88 |
| 1000 |
SN2S |
[-40.0, 28.3] |
[-40.0, 57.4] |
0.94 |
| 1000 |
EB2S |
[-40.0, 26.8] |
[-40.0, 54.1] |
39.13 |
Table 2
| $\bar{V}$ |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| 500 |
SN2S |
[-21.0, 17.1] |
[-40.0, 39.1] |
1.75 |
| 500 |
EB2S |
[-15.3, 13.9] |
[-40.0, 36.1] |
167.82 |
| 1000 |
SN2S |
[-40.0, 17.0] |
[-40.0, 62.8] |
1.62 |
| 1000 |
EB2S |
[-40.0, 13.1] |
[-40.0, 54.9] |
161.40 |
Table 4
| |
Parameter |
Linear |
Quadratic |
Linear |
Quadratic |
| Coca-Cola |
$\theta_{1,1}$ |
[-22.2, 43.7] |
[-21.9, 76.7] |
[-40.0, 49.6] |
[-40.0, 82.0] |
| |
$\theta_{1,2}$ |
[-20.0, 50.0] |
[-20.0, 50.0] |
[-20.0, 50.0] |
[-20.0, 50.0] |
| |
$\theta_{1,3}$ |
[0.0, 0.0] |
[-10.0, 10.0] |
[0.0, 0.0] |
[-10.0, 10.0] |
| |
$\theta_{1}$ |
[-18.7, -16.3] |
[-17.8, 8.6] |
[-40.0, 2.3] |
[-40.0, 14.2] |
| Energy Brands |
$\theta_{2,1}$ |
[-40.0, 53.6] |
[-40.0, 67.6] |
[-40.0, 78.2] |
[-40.0, 91.6] |
| |
$\theta_{2,2}$ |
[-20.0, 50.0] |
[-20.0, 50.0] |
[-20.0, 50.0] |
[-20.0, 50.0] |
| |
$\theta_{2,3}$ |
[0.0, 0.0] |
[-10.0, 10.0] |
[0.0, 0.0] |
[-10.0, 10.0] |
| |
$\theta_{2}$ |
[0.0, 0.0] |
[0.0, 0.0] |
[0.0, 0.0] |
[0.0, 0.0] |
| Comp. Time |
|
1.20 |
1.37 |
1.35 |
1.20 |
Python tables
Table 1
Panel A
| $\bar{V}$ |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| 500 |
SN2S |
[-16.0, 23.0] |
[-40.0, 39.0] |
2.346 |
| 500 |
EB2S |
[-15.0, 22.0] |
[-40.0, 39.0] |
416.250 |
| 1000 |
SN2S |
[-40.0, 29.0] |
[-40.0, 63.0] |
2.081 |
| 1000 |
EB2S |
[-40.0, 27.0] |
[-40.0, 61.0] |
419.781 |
Panel B
| $\bar{V}$ |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| 500 |
SN2S |
[-14.3, 22.6] |
[-40.0, 35.9] |
1.045 |
| 500 |
EB2S |
[-13.7, 22.3] |
[-40.0, 34.5] |
30.341 |
| 1000 |
SN2S |
[-40.0, 28.3] |
[-40.0, 57.4] |
0.769 |
| 1000 |
EB2S |
[-40.0, 27.4] |
[-40.0, 54.1] |
30.521 |
Table 2
| $\bar{V}$ |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| 500 |
SN2S |
[-21.0, 17.1] |
[-40.0, 39.1] |
1.374 |
| 500 |
EB2S |
[-17.3, 15.3] |
[-40.0, 36.5] |
121.747 |
| 1000 |
SN2S |
[-40.0, 17.0] |
[-40.0, 62.8] |
1.148 |
| 1000 |
EB2S |
[-40.0, 13.8] |
[-40.0, 54.8] |
120.689 |
Table 3
| Test Stat. |
Crit. Value |
$\theta_1$: Coca-Cola |
$\theta_2$: Energy Brands |
Comp. Time |
| CCK |
SN2S |
[nan, 14.2] |
[-40.0, 12.8] |
0.987 |
| RC-CCK |
SN2S |
[-35.4, 44.0] |
[-40.0, 13.8] |
1.193 |
| RC-CCK |
EB2S |
[-36.5, 43.4] |
[-40.0, 12.6] |
31.191 |
| RC-CCK |
SPUR1 |
[-40.0, 54.5] |
[-40.0, 18.3] |
183.142 |
Table 4
| |
Parameter |
Linear |
Quadratic |
Linear |
Quadratic |
| Coca-Cola |
$\theta_{1,1}$ |
[-22.2, 43.7] |
[-22.4, 76.7] |
[-40.0, 49.6] |
[-40.0, 82.0] |
| |
$\theta_{1,2}$ |
[-20.0, 50.0] |
[-20.0, 50.0] |
[-20.0, 50.0] |
[-20.0, 50.0] |
| |
$\theta_{1,3}$ |
[0.0, 0.0] |
[-10.0, 10.0] |
[0.0, 0.0] |
[-10.0, 10.0] |
| |
$\theta_{1}$ |
[-18.7, -16.3] |
[-17.8, 8.6] |
[-40.0, 2.3] |
[-40.0, 14.2] |
| Energy Brands |
$\theta_{2,1}$ |
[-40.0, 53.6] |
[-40.0, 67.6] |
[-40.0, 78.2] |
[-40.0, 91.6] |
| |
$\theta_{2,2}$ |
[-20.0, 50.0] |
[-20.0, 50.0] |
[-20.0, 50.0] |
[-20.0, 50.0] |
| |
$\theta_{2,3}$ |
[0.0, 0.0] |
[-10.0, 10.0] |
[0.0, 0.0] |
[-10.0, 10.0] |
| |
$\theta_{2}$ |
[0.0, 0.0] |
[0.0, 0.0] |
[0.0, 0.0] |
[0.0, 0.0] |
| Comp. Time |
|
0.518 |
0.832 |
0.707 |
0.736 |