Model Selection Tests for Nonnested Moment Inequality Models,” unpublished manuscript

This paper proposes Vuong-type tests to select between two partially-identifed mo-ment inequality models based on their Kullback-Leibler distances to the true data dis-tribution. The candidate models can be non-overlapping or overlapping. We treat the two cases separately and develop a testing procedure for each. Both testing procedures are shown to have correct asymptotic size in a uniform sense, despite the potential lack of point identi\u85cation of the model parameters. The tests are shown to be consistent and have nontrivial power against n1=2-local alternatives. Monte Carlo simulation of an entry game is used to demonstrate the \u85nite-sample performance of the tests. The tests are relatively easy to implement