A Simple Test for Identification in GMM under Conditional Moment Restrictions

Francesco Bravo, Juan Carlos Escanciano and Taisuke Otsu

A chapter in Essays in Honor of Jerry Hausman, 2012, pp 455-477 from Emerald Group Publishing Limited

Abstract: 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.

Keywords: Conditional moment restrictions; generalized method of moments; global identification; Hausman test; asset pricing (search for similar items in EconPapers)
Date: 2012
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Working Paper: A Simple Test for Identification in GMM under Conditional Moment Restrictions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2012)0000029020

DOI: 10.1108/S0731-9053(2012)0000029020

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