Testing for weak identification in possibly nonlinear models

DOI10.1016/J.JECONOM.2010.12.012zbMath1441.62749WikidataQ57436389 ScholiaQ57436389MaRDI QIDQ530604

Atsushi Inoue, Barbara Rossi

Publication date: 10 August 2016

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

zbMATH Keywords

GMMshrinkageweak identification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Related Items (10)

DSGE pileups ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ 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 ⋮ Modeling time-variation over the business cycle (1960--2017): an international perspective ⋮ Testing identification strength ⋮ Testing, Estimation in GMM and CUE with Nearly-Weak Identification ⋮ Projection-based inference with particle swarm optimization ⋮ 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

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