Enrique Sentana ()
Working Papers from CEMFI
I adapt the Generalised Method of Moments to deal with nonlinear models in which a finite number of isolated parameter values satisfy the moment conditions. To do so, I initially study the closely related limiting class of first-order underidentified models, whose expected Jacobian is rank deficient but not necessarily 0. In both cases, the proposed procedures yield efficiency gains and underidentification tests within a standard asymptotic framework. I study models with and without separation of data and parameters. Finally, I illustrate the proposed inference procedures with a dynamic panel data model and a non-linear regression model for discrete data.
Keywords: Finite set; Generalised Method of Moments; Identification test. (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2015_1508
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