Testing Parameters in GMM Without Assuming that They Are Identified
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- Applications of the characteristic function-based continuum GMM in finance
- Testing for risk aversion in first-price sealed-bid auctions
- Asymptotic F tests under possibly weak identification
- 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
- Sample sensitivity for two-step and continuous updating GMM estimators
- Impossible inference in econometrics: theory and applications
- Inference in second-order identified models
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- Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
- 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
- Estimation uncertainty in structural inflation models with real wage rigidities
- Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
- Identification robust inference in cointegrating regressions
- On the effect of mean-nonstationarity in dynamic panel data models
- A test for Kronecker product structure covariance matrix
- 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
- GMM estimation and uniform subvector inference with possible identification failure
- Rank tests for instrumental variables regression with weak instruments
- 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
- Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
- Testing the adequacy of conventional asymptotics in GMM
- Tests of risk premia in linear factor models
- Improving confidence set estimation when parameters are weakly identified
- PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
- Efficient GMM with nearly-weak instruments
- GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
- Subset hypotheses testing and instrument exclusion in the linear IV regression
- LASSO-TYPE GMM ESTIMATOR
- The weak instrument problem of the system GMM estimator in dynamic panel data models
- Hypothesis Testing with Efficient Method of Moments Estimation
- Detecting lack of identification in GMM
- On standard inference for GMM with local identification failure of known forms
- RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
- A fast iterated bootstrap procedure for approximating the small-sample bias
- Robust inference in nonlinear models with mixed identification strength
- Inference in instrumental variable models with heteroskedasticity and many instruments
- Unequal spacing in dynamic panel data: identification and estimation
- Shrinkage of variance for minimum distance based tests
- IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
- 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
- Phoebus J. Dhrymes (1932–2016)
- Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
- ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
- Testing under weak identification with conditional moment restrictions
- 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
- On the precision of Calvo parameter estimates in structural NKPC models
- ESTIMATION OF (STATIC OR DYNAMIC) GAMES UNDER EQUILIBRIUM MULTIPLICITY
- Locally robust inference for non-Gaussian linear simultaneous equations models
- A conditional linear combination test with many weak instruments
- Identification-robust nonparametric inference in a linear IV model
- Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators
- Culling the Herd of Moments with Penalized Empirical Likelihood
- Detecting identification failure in moment condition models
- Finite underidentification
- A jackknife Lagrange multiplier test with many weak instruments
- Wild bootstrap inference for instrumental variables regressions with weak and few clusters
- Locally robust inference for non-Gaussian SVAR models
- Conditional inference in \textit{cis}-Mendelian randomization using weak genetic factors
- Measuring Social Interaction Effects When Instruments Are Weak
- Pseudo Panel Data Models With Cohort Interactive Effects
- Identification- and many moment-robust inference via invariant moment conditions
- Weak identification with bounds in a class of minimum distance models
- Sensitivity analysis and power in the presence of many weak instruments: application to the effect of incarceration on future earnings
- Double robust inference for continuous updating GMM
- Reprint of: Finite underidentification
- Weak identification in discrete choice models
- Identification robust inference for the risk premium in term structure models
- On GMM inference: partial identification, identification strength, and nonstandard asymptotics
- Estimating time-varying exposure effects through continuous-time modelling in Mendelian randomization
- Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve
- To engineer or not to engineer? Relative wages and the allocation of engineering graduates
- A uniformly valid test for instrument exogeneity
- Identification-robust inference for the LATE with high-dimensional covariates
- Detecting weak identification by bootstrap
- Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models
- Applications of subsampling, hybrid, and size-correction methods
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