GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE

DOI10.1017/S0266466613000315zbMath1314.62075OpenAlexW3125103533MaRDI QIDQ2878810

Xu Cheng, Donald W. K. Andrews

Publication date: 5 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466613000315

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Parametric hypothesis testing (62F03) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02) Asymptotic properties of parametric tests (62F05)

Related Items (13)

UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL ⋮ Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model ⋮ A smoothed \(p\)-value test when there is a nuisance parameter under the alternative ⋮ Wald, QLR, and score tests when parameters are subject to linear inequality constraints ⋮ Detecting identification failure in moment condition models ⋮ High-dimensional IV cointegration estimation and inference ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Subvector inference when the true parameter vector may be near or at the boundary ⋮ Weak identification in probit models with endogenous covariates ⋮ On asymptotic size distortions in the random coefficients logit model ⋮ Testing overidentifying restrictions with a restricted parameter space ⋮ Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

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