The zero-information-limit condition and spurious inference in weakly identified models
DOI10.1016/J.JECONOM.2006.05.014zbMATH Open1418.62525OpenAlexW2071283616MaRDI QIDQ277154FDOQ277154
Authors: Charles R. Nelson, Richard Startz 
Publication date: 4 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.014
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Cites Work
- Instrumental Variables Regression with Weak Instruments
- Title not available (Why is that?)
- Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
- GMM with Weak Identification
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Finite sample properties of estimators for autoregressive moving average models
Cited In (9)
- GMM estimation and uniform subvector inference with possible identification failure
- Trend/cycle decomposition of regime-switching processes
- Modelling nonlinearities in equity returns: the mean impact curve analysis
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Efficient estimation of copula-GARCH models
- Robust inference in nonlinear models with mixed identification strength
- Maximum likelihood estimation and uniform inference with sporadic identification failure
- Small area estimation with correctly specified linking models
- Weak identification in the ESTAR model and a new model
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