Testing overidentifying restrictions with a restricted parameter space

DOI10.1016/j.econlet.2019.108743zbMath1431.62027OpenAlexW2977266220WikidataQ127172985 ScholiaQ127172985MaRDI QIDQ2334325

Philipp Ketz

Publication date: 7 November 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108743

zbMATH Keywords

boundaryoveridentifying restrictionsasymptotic size

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Theory of statistical experiments (62B15)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A cautionary note on tests of overidentifying restrictions
• Generalized method of moments specification testing
• Subvector inference when the true parameter vector may be near or at the boundary
• On asymptotic size distortions in the random coefficients logit model
• Bonferroni-based size-correction for nonstandard testing problems
• A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE
• Simulation and the Asymptotics of Optimization Estimators
• Instrumental Variables Regression with Weak Instruments
• Estimation When a Parameter is on a Boundary
• GMM with Weak Identification
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• Automobile Prices in Market Equilibrium
• A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty
• Econometric Theory and Practice
• On the Distribution of the Likelihood Ratio

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