Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics

DOI10.1016/j.jeconom.2014.05.001zbMath1311.62027OpenAlexW3121388416WikidataQ57441068 ScholiaQ57441068MaRDI QIDQ2511796

Mehmet Caner

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.05.001

zbMATH Keywords

Anderson-Rubin testasymptotic sizeviolation of exogeneity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (7)

Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information ⋮ The validity of instruments revisited ⋮ On rank estimators in increasing dimensions ⋮ Finite sample properties of the GMM Anderson–Rubin test ⋮ An upper bound for functions of estimators in high dimensions

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