Detecting identification failure in moment condition models (Q6193010)

scientific article; zbMATH DE number 7803930

Language	Label	Description	Also known as
English	Detecting identification failure in moment condition models	scientific article; zbMATH DE number 7803930

Statements

instance of

scholarly article

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title

Detecting identification failure in moment condition models (English)

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author

Jean-Jacques Forneron

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published in

Journal of Econometrics

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publication date

13 February 2024

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full work available at URL

https://arxiv.org/abs/1907.13093

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zbMATH Keywords

asset pricing

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uniform inference

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global identification

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indirect inference

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MaRDI profile type

MaRDI publication profile

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cites work

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

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Estimation and Inference With Weak, Semi-Strong, and Strong Identification

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Maximum likelihood estimation and uniform inference with sporadic identification failure

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GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE

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Generic results for establishing the asymptotic size of confidence sets and tests

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Conditional Inference With a Functional Nuisance Parameter

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Efficient GMM with nearly-weak instruments

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Efficient minimum distance estimation with multiple rates of convergence

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Testing identification strength

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Underidentification?

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Rational Pessimism, Rational Exuberance, and Asset Pricing Models

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Q4821526

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A Simple Test for Identification in GMM under Conditional Moment Restrictions

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Through the looking glass: indirect inference via simple equilibria

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GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS

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A new method of projection-based inference in GMM with weakly identified nuisance parameters

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Robust inference in nonlinear models with mixed identification strength

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The asymptotic properties of GMM and indirect inference under second-order identification

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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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A two-step indirect inference approach to estimate the long-run risk asset pricing model

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A more powerful subvector Anderson Rubin test in linear instrumental variables regression

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On the Asymptotic Sizes of Subset Anderson-Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression

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A New Specification Test for the Validity of Instrumental Variables

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Estimation and inference with a (nearly) singular Jacobian

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Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

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Testing for weak identification in possibly nonlinear models

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Testing Parameters in GMM Without Assuming that They Are Identified

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Efficient size correct subset inference in homoskedastic linear instrumental variables regression

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Generalized reduced rank tests using the singular value decomposition

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GLOBAL IDENTIFICATION IN NONLINEAR MODELS WITH MOMENT RESTRICTIONS

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The Identification of Structural Characteristics

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Introduction to empirical processes and semiparametric inference

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ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS

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Monte Carlo and quasi-Monte Carlo sampling

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Q3967358

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Lectures on convex optimization

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Q4327561

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Q4828566

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Identification in Parametric Models

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Likelihood-based inference with singular information matrix

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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

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GMM with Weak Identification

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Q5309188

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Weak convergence and empirical processes. With applications to statistics

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DETECTING LACK OF IDENTIFICATION IN GMM

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Identifiers

arXiv ID

1907.13093

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DOI

10.1016/j.jeconom.2023.105552

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6193010