The asymptotic properties of GMM and indirect inference under second-order identification

DOI10.1016/j.jeconom.2018.03.006zbMath1452.62191OpenAlexW2735164070MaRDI QIDQ1754512

Alastair R. Hall, Prosper Dovonon

Publication date: 31 May 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2018s-37.pdf

zbMATH Keywords

simulation-based estimationfirst-order identification failureminimum-chi squared estimationmoment-based estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items (9)

Specification testing with estimated variables ⋮ IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks ⋮ Detecting identification failure in moment condition models ⋮ Finite underidentification ⋮ Inference in second-order identified models ⋮ Identification of structural vector autoregressions through higher unconditional moments ⋮ Efficiency bounds for semiparametric models with singular score functions

Uses Software

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