A Simple Test for Identification in GMM under Conditional Moment Restrictions

DOI10.1108/S0731-9053(2012)0000029020zbMath1452.62383OpenAlexW1517699422MaRDI QIDQ5133591

Juan Carlos Escanciano, Taisuke Otsu, Francesco Bravo

Publication date: 10 November 2020

Published in: Essays in Honor of Jerry Hausman (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2012)0000029020

zbMATH Keywords

asset pricingconditional moment restrictionsHausman testgeneralized method of moments (GMM)global identification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

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