Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments

DOI10.1016/j.jeconom.2011.05.008zbMath1441.62744OpenAlexW3125598238MaRDI QIDQ738049

Chung-Ming Kuan, Shih-Hsun Hsu

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.05.008

zbMATH Keywords

Fourier coefficientsGMMglobal identifiabilityconditional moment restrictionsgenerically comprehensive revealing function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (4)

Tests of additional conditional moment restrictions ⋮ Fixed‐effects binary choice models with three or more periods ⋮ Editorial. Moment restriction-based econometric methods: an overview ⋮ On the identification of models with conditional characteristic functions

Cites Work

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• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• A Consistent Conditional Moment Test of Functional Form
• Topics in Advanced Econometrics
• Consistent Estimation with a Large Number of Weak Instruments
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

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