Underidentification?

DOI10.1016/J.JECONOM.2012.05.005MaRDI QIDQ528042zbMATH OpenOpenAlexFDO

Authors Manuel Arellano, Enrique Sentana, Lars Peter Hansen

Publication date 12 May 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612001170

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Detecting lack of identification in GMM
• Testing identification strength
• Identification and Lack of Identification
• Testing for weak identification in possibly nonlinear models
• Estimation and inference with a (nearly) singular Jacobian

Cites work

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• CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS
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• Detecting lack of identification in GMM
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Efficient estimation using the characteristic function
• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
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• Generalization of GMM to a continuum of moment conditions
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Identification and Lack of Identification
• Identification in Parametric Models
• Inferring the rank of a matrix
• Large Sample Properties of Generalized Method of Moments Estimators
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• On the Normalization of Structural Equations: Properties of Direction Estimators
• Panel Data Econometrics
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• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Testing Parameters in GMM Without Assuming that They Are Identified
• The Estimation of Economic Relationships using Instrumental Variables
• Underidentification?

Cited in

(11)

• Uncertain identification
• The asymptotic properties of GMM and indirect inference under second-order identification
• Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
• Losing recognizability
• Detecting lack of identification in GMM
• Detecting identification failure in moment condition models
• Finite underidentification
• Under-identification of structural models based on timing and information set assumptions
• Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
• Identification and Lack of Identification
• Underidentification?

Describes a project that uses

Uses Software

• AS 256

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