GEL statistics under weak identification (Q528051)

scientific article

Language	Label	Description	Also known as
English	GEL statistics under weak identification	scientific article

Statements

instance of

scholarly article

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title

GEL statistics under weak identification (English)

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author

Patrik Guggenberger

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Joaquim J. S. Ramalho

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Richard J. Smith

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published in

Journal of Econometrics

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publication date

12 May 2017

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full work available at URL

http://www.sciencedirect.com/science/article/pii/S0304407612001212

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zbMATH Keywords

asymptotically pivotal statistics

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conditional likelihood ratio statistic

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generalised empirical likelihood

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implied probabilities

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nonlinear moment conditions

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weak identification

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MaRDI profile type

MaRDI publication profile

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cites work

GMM, GEL, Serial Correlation, and Asymptotic Bias

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Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood

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On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix

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Inferring the rank of a matrix

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Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models

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Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

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GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION

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Generalized empirical likelihood tests in time series models with potential identification failure

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Q4807340

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Empirical likelihood methods with weakly dependent processes

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An Information-Theoretic Alternative to Generalized Method of Moments Estimation

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Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

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Testing Parameters in GMM Without Assuming that They Are Identified

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Generalized reduced rank tests using the singular value decomposition

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Tests with correct size when instruments can be arbitrarily weak

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Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Automatic Lag Selection in Covariance Matrix Estimation

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Generalized Method of Moments With Many Weak Moment Conditions

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GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION

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Empirical likelihood ratio confidence intervals for a single functional

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Empirical likelihood and general estimating equations

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TESTS OF RANK

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Identification and Lack of Identification

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Applications of Differential Geometry to Econometrics

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Q5447120

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GEL CRITERIA FOR MOMENT CONDITION MODELS

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Instrumental Variables Regression with Weak Instruments

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GMM with Weak Identification

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Identifiers

zbMATH Open document ID

1443.62454

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DOI

10.1016/j.jeconom.2012.05.009

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:528051