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

DOI10.1016/J.JECONOM.2018.03.006zbMATH Open1452.62191OpenAlexW2735164070MaRDI QIDQ1754512FDOQ1754512

Authors: Prosper Dovonon, Alastair Hall 

Publication date: 31 May 2018

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

Full work available at URL: https://cirano.qc.ca/files/publications/2018s-37.pdf

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zbMATH Keywords

simulation-based estimationfirst-order identification failureminimum-chi squared estimationmoment-based estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Simulated Moments Estimation of Markov Models of Asset Prices
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Instrumental Variables Regression with Weak Instruments
• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• GMM with Weak Identification
• The Skew-normal Distribution and Related Multivariate Families*
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Initial conditions and moment restrictions in dynamic panel data models
• A Method of Generating Best Asymptotically Normal Estimates with Application to the Estimation of Bacterial Densities
• Detecting lack of identification in GMM
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Methods to estimate dynamic stochastic general equilibrium models
• Dynamic identification of dynamic stochastic general equilibrium models
• Identification and Lack of Identification
• Testing Parameters in GMM Without Assuming that They Are Identified
• Likelihood-based inference with singular information matrix
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Factor Stochastic Volatility in Mean Models: A GMM Approach
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• The nature of sensitivity in monotone missing not at random models
• On the estimation of a binary response model in a selected population
• Indirect inference for dynamic panel models
• Title not available (Why is that?)
• An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
• Structural change tests for simulated method of moments.
• Underidentification?
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• Title not available (Why is that?)
• Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
• Identification of DSGE models -- the effect of higher-order approximation and pruning
• Bootstrapping the GMM overidentification test under first-order underidentification
• TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
• Testing for common conditionally heteroskedastic factors

Cited In (14)

• GMM Estimation of Non-Gaussian Structural Vector Autoregression
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• Specification testing with estimated variables
• GMM estimation and uniform subvector inference with possible identification failure
• Inference in second-order identified models
• Efficiency bounds for semiparametric models with singular score functions
• Identification-Robust Inference With Simulation-Based Pseudo-Matching
• Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
• Detecting identification failure in moment condition models
• Folklore theorems, implicit maps, and indirect inference
• Finite underidentification
• Specification testing for conditional moment restrictions under local identification failure
• Identification of structural vector autoregressions through higher unconditional moments
• On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators

Uses Software

• sn

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