Testing Parameters in GMM without Assuming that they are identified

Frank Kleibergen

No 01-067/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the K statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic (...)

This discussion paper has resulted in a publication in Econometrica , 2005, 73(4), 1103-23.

Keywords: Weak instruments; Size distortions; Covariance matrix estimators; stochastic discount factors (search for similar items in EconPapers)
Date: 2001-07-11
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Citations: View citations in EconPapers (3)

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Journal Article: Testing Parameters in GMM Without Assuming that They Are Identified (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20010067

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