On the identification of models with conditional characteristic functions

Hyojin Han

Economics Letters, 2020, vol. 186, issue C

Abstract: In this paper, we revisit a potential identification failure of estimation of models based on conditional characteristic functions. An arbitrary choice of moment conditions does not guarantee the parameter identifiability. We show that moment conditions based on the conditional characteristic functions and an exponential instrument satisfy the identification condition. We also provide a consistent GMM estimator that is computationally tractable and its asymptotic properties. This paper could provide useful guidelines to empirical researchers estimating this class of models.

Keywords: Identification; Conditional characteristic function; Generalized method of moments (search for similar items in EconPapers)
JEL-codes: C01 C13 C22 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304343

DOI: 10.1016/j.econlet.2019.108859

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