Estimation and inference with weak, semi-strong, and strong identification

DOI10.3982/ECTA9456zbMATH Open1274.62160MaRDI QIDQ2859529FDOQ2859529

Authors: Donald W. K. Andrews, Xu Cheng 

Publication date: 8 November 2013

Published in: Econometrica (Search for Journal in Brave)

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zbMATH Keywords

identificationnonlinear modelstestconfidence setweak identificationestimatorasymptotic sizestrong identification

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Parametric inference under constraints (62F30)

Cited In (69)

• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• Many IVs estimation of dynamic panel regression models with measurement error
• Testing for weak identification in possibly nonlinear models
• Likelihood inference in some finite mixture models
• Extremal quantile treatment effects
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• On asymptotic size distortions in the random coefficients logit model
• GMM estimation and uniform subvector inference with possible identification failure
• Subvector inference when the true parameter vector may be near or at the boundary
• Inference of local regression in the presence of nuisance parameters
• Ill-posed estimation in high-dimensional models with instrumental variables
• Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models
• Testing identification strength
• Identification strength with a large number of moments
• Bonferroni-based size-correction for nonstandard testing problems
• Factor models with local factors -- determining the number of relevant factors
• Testing for jumps and jump intensity path dependence
• Theory of weak identification in semiparametric models
• Bootstrap inference for instrumental variable models with many weak instruments
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• On the relevance of weaker instruments
• UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL
• Identification-robust nonparametric inference in a linear IV model
• Conditional moment models under semi-strong identification
• ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
• Get over it! A multilevel threshold autoregressive model for state-dependent affect regulation
• Improving confidence set estimation when parameters are weakly identified
• Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
• Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
• Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
• Generic results for establishing the asymptotic size of confidence sets and tests
• Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
• Almost sure uniqueness of a global minimum without convexity
• Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model
• Nonlinear cointegrating power function regression with endogeneity
• Some properties of tests for parameters that can be arbitrarily close to being unidentified
• Robust inference in nonlinear models with mixed identification strength
• Wald, QLR, and score tests when parameters are subject to linear inequality constraints
• On standard inference for GMM with local identification failure of known forms
• Adjustments of Rao's score test for distributional and local parametric misspecifications
• Bootstrap adjusted predictive classification for identification of subgroups with differential treatment effects under generalized linear models
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• Testing GARCH-X type models
• Asymptotic F tests under possibly weak identification
• Overlap in observational studies with high-dimensional covariates
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• Inference when a nuisance parameter is weakly identified under the null hypothesis
• Weak identification in the ESTAR model and a new model
• Testing overidentifying restrictions with a restricted parameter space
• Estimation and inference with a (nearly) singular Jacobian
• GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
• GEL statistics under weak identification
• Wild bootstrap inference for instrumental variables regressions with weak and few clusters
• Asymptotically Valid Bootstrap Inference for Proxy SVARs
• A conditional linear combination test with many weak instruments
• Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach
• Culling the Herd of Moments with Penalized Empirical Likelihood
• Detecting identification failure in moment condition models
• An identification and testing strategy for proxy-SVARs with weak proxies
• High-dimensional IV cointegration estimation and inference
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model
• Continued controversy in using latent class models for estimating diagnostic accuracy without a gold standard
• On uniform inference in nonlinear models with endogeneity
• A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
• Estimation and inference in games of incomplete information with unobserved heterogeneity and large state space
• Sequentially estimating the structural equation by power transformation
• Locally robust inference for non-Gaussian linear simultaneous equations models

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