Testing identification strength

DOI10.1016/J.JECONOM.2020.04.017zbMath1464.62490OpenAlexW2143849855MaRDI QIDQ2227047

Eric Renault, Bertille Antoine

Publication date: 9 February 2021

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

Full work available at URL: http://summit.sfu.ca/item/10941

zbMATH Keywords

GMMtestsubvectorweak IV

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03)

Related Items (3)

Detecting identification failure in moment condition models ⋮ Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality ⋮ Identification strength with a large number of moments

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Generalized reduced rank tests using the singular value decomposition
• Indirect inference and calibration of dynamic stochastic general equilibrium models
• On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
• Efficient minimum distance estimation with multiple rates of convergence
• Testing for weak identification in possibly nonlinear models
• Discontinuities of weak instrument limiting distributions.
• Model equivalence tests in a parametric framework
• Optimal testing of equivalence hypotheses
• Tests with correct size when instruments can be arbitrarily weak
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• Efficient GMM with nearly-weak instruments
• Testing, Estimation in GMM and CUE with Nearly-Weak Identification
• Generalized Method of Moments With Many Weak Moment Conditions
• Matrix Analysis
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• GMM with Weak Identification
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• A Simple Test for Identification in GMM under Conditional Moment Restrictions
• Testing for Common Conditionally Heteroskedastic Factors
• A Conditional Likelihood Ratio Test for Structural Models
• A New Specification Test for the Validity of Instrumental Variables

This page was built for publication: Testing identification strength