Testing parameters in GMM without assuming that they are identified

Econometrica

Volumn 73, Issue 4, 2005, Pages 1103-1123

  Kleibergen, Frank ^a,b  

^a BROWN UNIVERSITY   (United States)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Covariance matrix estimators; Size distortions; Stochastic discount factors; Weak instruments

Indexed keywords

EID: 22544477160     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2005.00610.x     Document Type: Article

References (29)

1. BROWN, B. W., AND W. K. NEWEY (1998): "Efficient Semiparametric Estimation of Expectations," Econometrica, 66, 453-464.
2. CAMPBELL, J. Y., AND R. J. SHILLER (1987): "Cointegration and Tests of Present Value Models," Journal of Political Economy, 95, 1062-1088.
3. CRAGG, J. C., AND S. G. DONALD (1996): "On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix," Journal of the American Statistical Association, 91, 1301-1309.
4. _ (1997): "Inferring the Rank of a Matrix," Journal of Econometrics, 76, 223-250.
5. DONALD, S. G., AND W. K. NEWEY (2000): "A Jackknife Interpretation of the Continuous Updating Estimator," Economics Letters, 67, 239-243.
6. _ (2001): "Choosing the Number of Instruments," Econometrica, 69, 1161-1192.
7. DUFOUR, J.-M. (1997): "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, 65, 1365-1388.
8. GORDIN, M. I. (1969): "The Central Limit Theorem for Stationary Processes," Soviet Mathematics Doklady, 10, 1174-1176.
9. HANSEN, L. P. (1982): "Large Sample Properties of Generalized Method Moments Estimators," Econometrica, 50, 1029-1054.
10. HANSEN, L. P., AND K. SINGLETON (1982): "Generalized Instrumental Variable Estimation of Nonlinear Rational Expectations Models," Econometrica, 50, 1269-1286.
11. HANSEN, L. P., J. HEATON, AND A. YARON (1996): "Finite Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, 14, 262-280.
12. KLEIBERGEN, F. (2002): "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, 70, 1781-1803.
13. _ (2004a): "Testing Subsets of Structural Parameters in the Instrumental Variables Regression Model," Review of Economics and Statistics, 86, 418-423.
14. _ (2004b): "Generalizing Weak Instrument Robust IV Statistics Towards Multiple Parameters, Unrestricted Covariance Matrices and Identification Statistics," Working Paper, Department of Economics, Brown University.
15. KLEIBERGEN, F., AND R. PAAP (2005): "Generalized Reduced Rank Tests Using the Singular Value Decomposition," Journal of Econometrics, forthcoming.
16. KOCHERLAKOTA, N. R. (1990): "On Tests of Representative Consumer Asset Pricing Models," Journal of Monetary Economics, 26, 285-304.
17. MOREIRA, M. J. (2003): "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, 71, 1027-1048.
18. NEWEY, W. K., AND D. MCFADDEN (1994): "Large Sample Estimation and Hypothesis Testing," in Handbook of Econometrics, Vol. 4, ed. by R. Engle and D. McFadden. Amsterdam: Elsevier Science, Chap. 36, 2113-2148.
19. NEWEY, W. K., AND K. D. WEST (1987a): "A Simple Positive Semi-Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708.
20. _ (1987b): "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, 28, 777-787.
21. NEWEY, W. K., AND R. J. SMITH (2004): "Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators," Econometrica, 72, 219-255.
22. ROBIN, J.-M., AND R. J. SMITH (2000): "Tests of Rank," Econometric Theory, 16, 151-175.
23. STAIGER, D., AND J. H. STOCK (1997): "Instrumental Variables Regression with Weak Instruments," Econometrica, 65, 557-586.
24. STOCK, J. H., AND J. H. WRIGHT (2000): "GMM with Weak Identification," Econometrica, 68, 1055-1096.
25. TAUCHEN, G. (1986a): "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data,"Journal of Business & Economic Statistics, 4, 397-425.
26. _ (1986b): "Finite State Markov-Chain Approximations to Univariate and Vector Autore-gressions," Economic Letters, 20, 177-181.
27. WHITE, H. (1980): "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity," Econometrica, 48, 817-838.
28. _ (1984): Asymptotic Theory for Econometricians. New York: Academic Press.
29. WHITE, H., AND I. DOMOWITZ (1984): "Nonlinear Regression with Dependent Observations," Econometrica, 52, 143-161.