Valid Inference in Partially Unstable Generalized Method of Moments Models

DOI10.1111/J.1467-937X.2008.00516.XMaRDI QIDQ3601196zbMATH OpenOpenAlexFDO

Authors Hong Li, Ulrich K. Müller

Publication date 10 February 2009

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-937x.2008.00516.x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• GMM estimation and uniform subvector inference with possible identification failure
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Cited in

(6)

• Pre and post break parameter inference
• Efficient estimation of the parameter path in unstable time series models
• Structural change tests based on implied probabilities for gel criteria
• Testing for homogeneous thresholds in threshold regression models
• Estimating and testing for smooth structural changes in moment condition models
• Estimating structural changes in regression quantiles

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