Detecting lack of identification in GMM
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Recommendations
- A simple test for identification in GMM under conditional moment restrictions
- Testing the adequacy of conventional asymptotics in GMM
- Underidentification?
- GMM estimation and uniform subvector inference with possible identification failure
- Testing Parameters in GMM Without Assuming that They Are Identified
Cites work
- Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- GMM with Weak Identification
- scientific article; zbMATH DE number 3932265 (Why is no real title available?)
- Inferring the rank of a matrix
- Instrumental Variables Regression with Weak Instruments
- Large Sample Properties of Generalized Method of Moments Estimators
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
Cited in
(26)- The asymptotic properties of GMM and indirect inference under second-order identification
- Efficient bootstrap with weakly dependent processes
- Testing identification strength
- 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
- A unifying theory of tests of rank
- Bootstrapping the GMM overidentification test under first-order underidentification
- Generalized reduced rank tests using the singular value decomposition
- Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
- Testing the adequacy of conventional asymptotics in GMM
- GMM with Weak Identification
- Weak instrumental variables models for longitudinal data
- A simple test for identification in GMM under conditional moment restrictions
- Underidentification?
- Testing for weak identification in possibly nonlinear models
- Testing Parameters in GMM Without Assuming that They Are Identified
- Structural change tests for GEL criteria
- Efficiency bounds for semiparametric models with singular score functions
- A GMM approach to estimate the roughness of stochastic volatility
- 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
- Finite underidentification
- Inference in coarsened time series via generalized method of moments
- Reprint of: Finite underidentification
- On GMM inference: partial identification, identification strength, and nonstandard asymptotics
- Detecting weak identification by bootstrap
- Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
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