Maximum likelihood estimation and uniform inference with sporadic identification failure

DOI10.1016/j.jeconom.2012.10.003zbMath1443.62420OpenAlexW3123465478MaRDI QIDQ528166

Xu Cheng, Donald W. K. Andrews

Publication date: 12 May 2017

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

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d18/d1824-a.pdf

zbMATH Keywords

likelihoodidentificationnonlinear modelsestimatorconfidence settestweak identificationbinary choiceasymptotic sizesmooth transition threshold autoregression

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) Asymptotic properties of parametric tests (62F05)

Related Items (16)

Overlap in observational studies with high-dimensional covariates ⋮ Adjustments of Rao's score test for distributional and local parametric misspecifications ⋮ A smoothed \(p\)-value test when there is a nuisance parameter under the alternative ⋮ Smooth transition simultaneous equation models ⋮ Locally robust inference for non-Gaussian linear simultaneous equations models ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Detecting identification failure in moment condition models ⋮ Likelihood inference in some finite mixture models ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Data filtering based multi-innovation extended gradient method for controlled autoregressive autoregressive moving average systems using the maximum likelihood principle ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Extremal quantile treatment effects ⋮ Projection-based inference with particle swarm optimization ⋮ Identification robust inference in cointegrating regressions ⋮ Weak identification in probit models with endogenous covariates ⋮ GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE

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• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Testing Parameters in GMM Without Assuming that They Are Identified
• A Conditional Likelihood Ratio Test for Structural Models
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