DETECTING LACK OF IDENTIFICATION IN GMM

DOI10.1017/S0266466603192055zbMath1441.62905OpenAlexW3124206308MaRDI QIDQ4561956

Jonathan H. Wright

Publication date: 14 December 2018

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

Full work available at URL: https://doi.org/10.1017/s0266466603192055

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (17)

Generalized reduced rank tests using the singular value decomposition ⋮ Further results on projection-based inference in IV regressions with weak, collinear or missing instruments ⋮ A unifying theory of tests of rank ⋮ Weak Instrumental Variables Models for Longitudinal Data ⋮ Bootstrapping the GMM overidentification test under first-order underidentification ⋮ Efficient bootstrap with weakly dependent processes ⋮ A GMM approach to estimate the roughness of stochastic volatility ⋮ Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators ⋮ Detecting identification failure in moment condition models ⋮ Finite underidentification ⋮ The asymptotic properties of GMM and indirect inference under second-order identification ⋮ Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis ⋮ Underidentification? ⋮ Testing for weak identification in possibly nonlinear models ⋮ On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification ⋮ Structural change tests for GEL criteria ⋮ Efficiency bounds for semiparametric models with singular score functions

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Inferring the rank of a matrix
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• GMM with Weak Identification
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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