DETECTING LACK OF IDENTIFICATION IN GMM

Jonathan Wright

Econometric Theory, 2003, vol. 19, issue 2, 322-330

Abstract: This paper proposes a test of the null of underidentification in the nonlinear-in-parameters generalized method of moments model. It can be thought of as a nonlinear analog of the usual linear instrumental variables first-stage F-test. It can be used as a diagnostic to warn a researcher when conventional asymptotic theory is unlikely to work well.I am grateful to Don Andrews, Jon Faust, John Fernald, Jim Stock, and two anonymous referees for their helpful comments on earlier drafts of this manuscript. I am also grateful to George Tauchen for providing me with the code for generating artificial asset price data. All errors are my sole responsibility.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (47)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Detecting lack of identification in GMM (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:19:y:2003:i:02:p:322-330_19

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().