GMM with Weak Identification

DOI10.1111/1468-0262.00151zbMATH Open1015.62105OpenAlexW2158179451MaRDI QIDQ4530981FDOQ4530981

Authors: James H. Stock, Jonathan H. Wright 

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00151

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zbMATH Keywords

instrumental variablesempirical processesasset pricingEuler equation estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (only showing first 100 items - show all)

• LASSO-TYPE GMM ESTIMATOR
• Instrumental variable quantile regression: a robust inference approach
• Testing for weak identification in possibly nonlinear models
• Combining estimators to improve structural model estimation and inference under quadratic loss
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• Choosing instrumental variables in conditional moment restriction models
• On the structure of IV estimands
• Empirical asset pricing with multi-period disaster risk: a simulation-based approach
• Simple and trustworthy cluster-robust GMM inference
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• GMM estimation and uniform subvector inference with possible identification failure
• The zero-information-limit condition and spurious inference in weakly identified models
• Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• Linear instrumental variables model averaging estimation
• Impulse response matching estimators for DSGE models
• Testing Parameters in GMM Without Assuming that They Are Identified
• Efficient GMM with nearly-weak instruments
• Efficient minimum distance estimation with multiple rates of convergence
• Testing under weak identification with conditional moment restrictions
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Nonlinear cointegrating regression under weak identification
• Generalized empirical likelihood tests in time series models with potential identification failure
• Examining bias in estimators of linear rational expectations models under misspecification
• Weak identification robust tests in an instrumental quantile model
• Bootstrap validity for the score test when instruments may be weak
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
• Efficient forecast tests for conditional policy forecasts
• Confidence intervals in generalized method of moments models
• Testing, Estimation in GMM and CUE with Nearly-Weak Identification
• GMM estimation of the new Phillips curve.
• Improving confidence set estimation when parameters are weakly identified
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
• Generalized Method of Moments With Many Weak Moment Conditions
• Detecting lack of identification in GMM
• Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
• OLS and IV estimation of regression models including endogenous interaction terms
• Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
• Robust inference in nonlinear models with mixed identification strength
• Properties of the CUE estimator and a modification with moments
• The validity of instruments revisited
• Testing endogeneity with high dimensional covariates
• Tests with correct size when instruments can be arbitrarily weak
• Weak instrumental variables models for longitudinal data
• A new method of projection-based inference in GMM with weakly identified nuisance parameters
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• Empirical likelihood for regression discontinuity design
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• GMM with Many Moment Conditions
• Adaptive GMM shrinkage estimation with consistent moment selection
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Finite sample inference for quantile regression models
• Implied Probabilities in GMM Estimators
• Hahn-Hausman test as a specification test
• Second-order refinement of empirical likelihood for testing overidentifying restrictions
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• 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
• GEL statistics under weak identification
• Chi-squared tests for evaluation and comparison of asset pricing models
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• Underidentification?
• Semi-parametric estimation of American option prices
• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• Exact tests of the stability of the Phillips curve: the Canadian case
• Inference in structural vector autoregressions identified with an external instrument
• Statistical inference in dynamic panel data models
• Valid Inference in Partially Unstable Generalized Method of Moments Models
• Score tests in GMM: why use implied probabilities?
• Averaging of an increasing number of moment condition estimators
• Consistent estimation with many moment inequalities
• Inference in second-order identified models
• Inference of local regression in the presence of nuisance parameters
• Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
• Testing identification strength
• Identification in a generalization of bivariate probit models with dummy endogenous regressors
• On the estimation of total factor productivity: a novel Bayesian non-parametric approach
• A comparison of testing and estimation of firm conduct
• The asymptotic distribution of the LIML estimator in a partially identified structural equation
• Quasi-Bayesian model selection
• The asymptotic properties of GMM and indirect inference under second-order identification
• Projection-based inference with particle swarm optimization
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England
• On the relevance of weaker instruments
• Identification-robust nonparametric inference in a linear IV model
• Conditional moment models under semi-strong identification
• Identification and inference in two-pass asset pricing models
• The empirical saddlepoint estimator
• A dynamic network model of the unsecured interbank lending market
• Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
• Penalized indirect inference
• 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
• Subset hypotheses testing and instrument exclusion in the linear IV regression
• A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions

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