Testing, Estimation in GMM and CUE with Nearly-Weak Identification
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Cites work
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- Discontinuities of weak instrument limiting distributions.
- Efficient GMM with nearly-weak instruments
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- GMM with Weak Identification
- Large Sample Properties of Generalized Method of Moments Estimators
- LASSO-TYPE GMM ESTIMATOR
- Testing for weak identification in possibly nonlinear models
- Weak convergence and empirical processes. With applications to statistics
Cited in
(26)- On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions
- Asymptotic F tests under possibly weak identification
- Testing identification strength
- 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
- Conditional moment models under semi-strong identification
- Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- GMM estimation and uniform subvector inference with possible identification failure
- Nearly-singular design in GMM and generalized empirical likelihood estimators
- Efficient GMM with nearly-weak instruments
- GMM with Weak Identification
- Robust inference in nonlinear models with mixed identification strength
- Weak instrumental variables models for longitudinal data
- Efficient minimum distance estimation with multiple rates of convergence
- CUE with many weak instruments and nearly singular design
- Maximum likelihood estimation and uniform inference with sporadic identification failure
- Finite sample properties of the GMM Anderson-Rubin test
- On the relevance of weaker instruments
- Near exogeneity, weak identification and specification testing: Some asymptotic results
- Editors' introduction
- Estimation and inference in adaptive learning models with slowly decreasing gains
- Weak identification in discrete choice models
- Efficiency bounds for moment condition models with mixed identification strength
- Relevant moment selection under mixed identification strength
- On GMM inference: partial identification, identification strength, and nonstandard asymptotics
- Properties of the CUE estimator and a modification with moments
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