A Simple Test for Identification in GMM under Conditional Moment Restrictions

Francesco Bravo, Juan Carlos Escanciano and Taisuke Otsu
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Taisuke Otsu: Cowles Foundation, Yale University, https://cowles.yale.edu/

No 1789, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is 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 chi-squared limiting distribution and is also able to detect weak identification alternatives. Some Monte Carlo experiments show that the proposed test has competitive finite sample properties already for moderate sample sizes.

Keywords: Conditional moment restrictions; Generalized method of moments; Global identification; Hausman test; Asset pricing (search for similar items in EconPapers)
JEL-codes: C12 C13 C32 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2011-03
New Economics Papers: this item is included in nep-ecm
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Chapter: A Simple Test for Identification in GMM under Conditional Moment Restrictions (2012)
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