Maximum likelihood estimation and uniform inference with sporadic identification failure
DOI10.1016/J.JECONOM.2012.10.003zbMATH Open1443.62420OpenAlexW3123465478MaRDI QIDQ528166FDOQ528166
Xu Cheng, Donald W. K. Andrews
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d18/d1824-a.pdf
likelihoodidentificationnonlinear modelstestbinary choiceconfidence setweak identificationestimatorasymptotic sizesmooth transition threshold autoregression
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)
Cites Work
- Instrumental Variables Regression with Weak Instruments
- Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
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- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- GMM with Weak Identification
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- A Conditional Likelihood Ratio Test for Structural Models
- Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
- Sample Splitting and Threshold Estimation
- Testing linearity against smooth transition autoregressive models
- Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
- The zero-information-limit condition and spurious inference in weakly identified models
- Identification and Lack of Identification
- Testing Parameters in GMM Without Assuming that They Are Identified
- A time series model for an exchange rate in a target zone with applications
- Estimation and inference with weak, semi-strong, and strong identification
- A matrix extension of the Cauchy-Schwarz inequality
- Efficient GMM with nearly-weak instruments
- Testing, Estimation in GMM and CUE with Nearly-Weak Identification
- On geometric ergodicity of nonlinear autoregressive models
Cited In (17)
- Likelihood inference in some finite mixture models
- Extremal quantile treatment effects
- GMM estimation and uniform subvector inference with possible identification failure
- Weak identification in probit models with endogenous covariates
- Projection-based inference with particle swarm optimization
- ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS
- Is There a Jump in the Transition?
- Detecting identification failure in moment condition models
- Generic results for establishing the asymptotic size of confidence sets and tests
- A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
- Data filtering based multi-innovation extended gradient method for controlled autoregressive autoregressive moving average systems using the maximum likelihood principle
- Robust inference in nonlinear models with mixed identification strength
- Adjustments of Rao's score test for distributional and local parametric misspecifications
- Identification robust inference in cointegrating regressions
- Smooth transition simultaneous equation models
- Overlap in observational studies with high-dimensional covariates
- Locally robust inference for non-Gaussian linear simultaneous equations models
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