Specification testing for conditional moment restrictions under local identification failure

DOI10.3982/qe2242MaRDI QIDQ6646161

Nikolay Gospodinov, Prosper Dovonon

Publication date: 29 November 2024

Published in: Quantitative Economics (Search for Journal in Brave)

zbMATH Keywords

robustness\(U\)-statisticsGMMconditional moment restrictionsstrong mixing dependencesecond-order local identificationlocal and global identificationtest for overidentifying restrictionsfirst-order local identification failure

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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