Asymptotic F tests under possibly weak identification

DOI10.1016/J.JECONOM.2019.10.011zbMATH Open1456.62211OpenAlexW2921571608MaRDI QIDQ2190247FDOQ2190247

Authors: Julián Martínez-Iriarte, Yixiao Sun, Xuexin Wang 

Publication date: 18 June 2020

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

Full work available at URL: http://research.soe.xmu.edu.cn/repec/upload/201903131910118038.pdf

Recommendations

• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• Testing identification strength
• Simple and powerful GMM over-identification tests with accurate size
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
• Testing for weak identification in possibly nonlinear models

zbMATH Keywords

F distributionfixed-smoothing asymptoticsweak identificationheteroskedasticity and autocorrelation robust variancecontinuous updating GMM

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Estimation in multivariate analysis (62H12)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• GMM with Weak Identification
• Controlling the size of autocorrelation robust tests
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• Fixed-smoothing asymptotics in a two-step generalized method of moments framework
• A heteroskedasticity and autocorrelation robust \(F\) test using an orthonormal series variance estimator
• Testing Parameters in GMM Without Assuming that They Are Identified
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• A theory of robust long-run variance estimation
• Estimation and inference with weak, semi-strong, and strong identification
• Efficient GMM with nearly-weak instruments
• HAC ESTIMATION BY AUTOMATED REGRESSION
• Testing, Estimation in GMM and CUE with Nearly-Weak Identification
• Fixed-smoothing asymptotics and asymptotic \(F\) and \(t\) tests in the presence of strong autocorrelation
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
• A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models

Cited In (9)

• Testing for weak identification in possibly nonlinear models
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• Efficient tests under a weak convergence assumption
• Fixed-smoothing asymptotics and asymptotic \(F\) and \(t\) tests in the presence of strong autocorrelation
• Asymptotic robustness of tests of overidentification and predeterminedness
• The asymptotic distribution of the F‐test statistic for individual effects
• An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
• Finite-sample corrected inference for two-step GMM in time series
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting

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