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
Publication date: 24 October 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://papers.tinbergen.nl/01067.pdf
Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Statistical methods; economic indices and measures (91B82)
Related Items
RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS ⋮ 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 ⋮ Generalized empirical likelihood tests in time series models with potential identification failure ⋮ Instrumental variable quantile regression: a robust inference approach ⋮ Weak identification robust tests in an instrumental quantile model ⋮ PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION ⋮ Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities ⋮ Tests of risk premia in linear factor models ⋮ On the effect of mean-nonstationarity in dynamic panel data models ⋮ Improving confidence set estimation when parameters are weakly identified ⋮ SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION ⋮ Some properties of tests for parameters that can be arbitrarily close to being unidentified ⋮ Identification in a generalization of bivariate probit models with dummy endogenous regressors ⋮ Shrinkage of Variance for Minimum Distance Based Tests ⋮ ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS ⋮ Linear model IV estimation when instruments are many or weak ⋮ On the precision of Calvo parameter estimates in structural NKPC models ⋮ A note on the relation between local power and robustness to misspecification ⋮ IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ Asymptotic F tests under possibly weak identification ⋮ ESTIMATION OF (STATIC OR DYNAMIC) GAMES UNDER EQUILIBRIUM MULTIPLICITY ⋮ Locally robust inference for non-Gaussian linear simultaneous equations models ⋮ Phoebus J. Dhrymes (1932–2016) ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ A conditional linear combination test with many weak instruments ⋮ Identification-robust nonparametric inference in a linear IV model ⋮ A test for Kronecker product structure covariance matrix ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ Detecting identification failure in moment condition models ⋮ Finite underidentification ⋮ Estimation uncertainty in structural inflation models with real wage rigidities ⋮ Score tests in GMM: why use implied probabilities? ⋮ Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit ⋮ Efficient size correct subset inference in homoskedastic linear instrumental variables regression ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ Impossible inference in econometrics: theory and applications ⋮ Inference in second-order identified models ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ LASSO-TYPE GMM ESTIMATOR ⋮ TESTING UNDER WEAK IDENTIFICATION WITH CONDITIONAL MOMENT RESTRICTIONS ⋮ Testing the adequacy of conventional asymptotics in GMM ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Unequal spacing in dynamic panel data: identification and estimation ⋮ The weak instrument problem of the system GMM estimator in dynamic panel data models ⋮ Projection-based inference with particle swarm optimization ⋮ Indirect inference with endogenously missing exogenous variables ⋮ The asymptotic properties of GMM and indirect inference under second-order identification ⋮ Underidentification? ⋮ GEL statistics under weak identification ⋮ Efficient minimum distance estimation with multiple rates of convergence ⋮ Maximum likelihood estimation and uniform inference with sporadic identification failure ⋮ On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification ⋮ A Fast Iterated Bootstrap Procedure for Approximating the Small-Sample Bias ⋮ RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS ⋮ Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors ⋮ Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics ⋮ Identification robust inference in cointegrating regressions ⋮ Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ A new class of asymptotically efficient estimators for moment condition models ⋮ A new method of projection-based inference in GMM with weakly identified nuisance parameters ⋮ Identification-robust simulation-based inference in joint discrete/continuous models for energy markets ⋮ Weak identification in probit models with endogenous covariates ⋮ Efficient GMM with nearly-weak instruments ⋮ Testing for risk aversion in first-price sealed-bid auctions ⋮ GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ Structural change tests for GEL criteria ⋮ Finite sample properties of the GMM Anderson–Rubin test ⋮ Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves ⋮ Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity ⋮ GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE