Testing Parameters in GMM Without Assuming that They Are Identified

From MaRDI portal
Publication:5393926

DOI10.1111/j.1468-0262.2005.00610.xzbMath1152.91715OpenAlexW2567119387MaRDI QIDQ5393926

Frank Kleibergen

Publication date: 24 October 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://papers.tinbergen.nl/01067.pdf




Related Items

RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTSBoundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified casesFurther results on projection-based inference in IV regressions with weak, collinear or missing instrumentsGeneralizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statisticsGeneralized empirical likelihood tests in time series models with potential identification failureInstrumental variable quantile regression: a robust inference approachWeak identification robust tests in an instrumental quantile modelPIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATIONConfidence sets for partially identified parameters that satisfy a finite number of moment inequalitiesTests of risk premia in linear factor modelsOn the effect of mean-nonstationarity in dynamic panel data modelsImproving confidence set estimation when parameters are weakly identifiedSUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSIONSome properties of tests for parameters that can be arbitrarily close to being unidentifiedIdentification in a generalization of bivariate probit models with dummy endogenous regressorsShrinkage of Variance for Minimum Distance Based TestsON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMSLinear model IV estimation when instruments are many or weakOn the precision of Calvo parameter estimates in structural NKPC modelsA note on the relation between local power and robustness to misspecificationIDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELSAsymptotic F tests under possibly weak identificationESTIMATION OF (STATIC OR DYNAMIC) GAMES UNDER EQUILIBRIUM MULTIPLICITYLocally robust inference for non-Gaussian linear simultaneous equations modelsPhoebus J. Dhrymes (1932–2016)ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELSA conditional linear combination test with many weak instrumentsIdentification-robust nonparametric inference in a linear IV modelA test for Kronecker product structure covariance matrixCulling the Herd of Moments with Penalized Empirical LikelihoodDetecting identification failure in moment condition modelsFinite underidentificationEstimation uncertainty in structural inflation models with real wage rigiditiesScore tests in GMM: why use implied probabilities?Dynamic panels with MIDAS covariates: nonlinearity, estimation and fitEfficient size correct subset inference in homoskedastic linear instrumental variables regressionON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTIONImpossible inference in econometrics: theory and applicationsInference in second-order identified modelsGeneric results for establishing the asymptotic size of confidence sets and testsLASSO-TYPE GMM ESTIMATORTESTING UNDER WEAK IDENTIFICATION WITH CONDITIONAL MOMENT RESTRICTIONSTesting the adequacy of conventional asymptotics in GMMRobust inference in nonlinear models with mixed identification strengthUnequal spacing in dynamic panel data: identification and estimationThe weak instrument problem of the system GMM estimator in dynamic panel data modelsProjection-based inference with particle swarm optimizationIndirect inference with endogenously missing exogenous variablesThe asymptotic properties of GMM and indirect inference under second-order identificationUnderidentification?GEL statistics under weak identificationEfficient minimum distance estimation with multiple rates of convergenceMaximum likelihood estimation and uniform inference with sporadic identification failureOn the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identificationA Fast Iterated Bootstrap Procedure for Approximating the Small-Sample BiasRELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELSOptimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errorsNear exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptoticsIdentification robust inference in cointegrating regressionsIdentification robust confidence set methods for inference on parameter ratios with application to discrete choice modelsApplications of subsampling, hybrid, and size-correction methodsA new class of asymptotically efficient estimators for moment condition modelsA new method of projection-based inference in GMM with weakly identified nuisance parametersIdentification-robust simulation-based inference in joint discrete/continuous models for energy marketsWeak identification in probit models with endogenous covariatesEfficient GMM with nearly-weak instrumentsTesting for risk aversion in first-price sealed-bid auctionsGENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATIONINFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTSStructural change tests for GEL criteriaFinite sample properties of the GMM Anderson–Rubin testExact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips CurvesSubsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identificationRobust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticityGMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE