Testing the adequacy of conventional asymptotics in GMM

DOI10.1111/j.1368-423X.2010.00312.xzbMath1230.62151MaRDI QIDQ3004022

Jonathan H. Wright

Publication date: 31 May 2011

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

zbMATH Keywords

instrumental variables; weak identification; robust confidence sets

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

62F05: Asymptotic properties of parametric tests

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Generalized empirical likelihood tests in time series models with potential identification failure
• Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• Tests with correct size when instruments can be arbitrarily weak
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Generalized Method of Moments With Many Weak Moment Conditions
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Specification Tests in Econometrics
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• GMM with Weak Identification
• Choosing the Number of Instruments
• Testing Parameters in GMM Without Assuming that They Are Identified
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• A Conditional Likelihood Ratio Test for Structural Models
• A New Specification Test for the Validity of Instrumental Variables
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Identification and Inference for Econometric Models
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations