Testing the adequacy of conventional asymptotics in GMM

DOI10.1111/j.1368-423X.2010.00312.xzbMath1230.62151MaRDI QIDQ3004022

Jonathan H. Wright

Publication date: 31 May 2011

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00312.x

zbMATH Keywords

instrumental variables; weak identification; robust confidence sets

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

62F05: Asymptotic properties of parametric tests

Related Items

Finite sample properties of the GMM Anderson–Rubin test

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