Underidentification?

DOI10.1016/J.JECONOM.2012.05.005zbMATH Open1443.62424OpenAlexW4243824076MaRDI QIDQ528042FDOQ528042

Authors: Manuel Arellano, Enrique Sentana, Lars Peter Hansen 

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001170

Recommendations

• Detecting lack of identification in GMM
• Testing identification strength
• Identification and Lack of Identification
• Testing for weak identification in possibly nonlinear models
• Estimation and inference with a (nearly) singular Jacobian

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables
• Large Sample Properties of Generalized Method of Moments Estimators
• Generalization of GMM to a continuum of moment conditions
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Efficient estimation using the characteristic function
• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• Identification in Parametric Models
• The Estimation of Economic Relationships using Instrumental Variables
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• GMM with Weak Identification
• Computing the distribution of quadratic forms in normal variables
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Panel Data Econometrics
• On the Normalization of Structural Equations: Properties of Direction Estimators
• Title not available (Why is that?)
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Inferring the rank of a matrix
• Detecting lack of identification in GMM
• Title not available (Why is that?)
• Title not available (Why is that?)
• Identification and Lack of Identification
• Testing Parameters in GMM Without Assuming that They Are Identified
• Restrictions on the Reduced Form and the Rank and Order Conditions
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Underidentification?
• CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS
• Title not available (Why is that?)

Cited In (11)

• Uncertain identification
• The asymptotic properties of GMM and indirect inference under second-order identification
• Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
• Detecting lack of identification in GMM
• Losing recognizability
• Detecting identification failure in moment condition models
• Finite underidentification
• Under-identification of structural models based on timing and information set assumptions
• Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
• Identification and Lack of Identification
• Underidentification?

Uses Software

• AS 256

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