A simple test for identification in GMM under conditional moment restrictions

Francesco Bravo, Juan Carlos Escanciano, Taisuke Otsu

研究成果: Conference contribution

2 被引用数 (Scopus)

抄録

This chapter proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is a Hausman-type test based on the Hausdorff distance between an estimator that is consistent even under global identification failure of the unconditional moment restrictions, and an estimator of the identified set of the unconditional moment restrictions. The proposed test has a χ2 limiting distribution and is also able to detect weak identification. Some Monte Carlo experiments show that the proposed test has competitive finite sample properties already for moderate sample sizes.

本文言語English
ホスト出版物のタイトルEssays in Honor of Jerry Hausman
編集者Badi Baltagi, Carter Hill, Whitney Newey, Halbert White
ページ455-477
ページ数23
DOI
出版ステータスPublished - 2012
外部発表はい

出版物シリーズ

名前Advances in Econometrics
29
ISSN(印刷版)0731-9053

ASJC Scopus subject areas

  • 経済学、計量経済学

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