메뉴 건너뛰기




Volumn 170, Issue 2, 2012, Pages 256-280

Underidentification?

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMETRIC MODEL; ORIGINAL MODEL;

EID: 84865329625     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.05.005     Document Type: Conference Paper
Times cited : (21)

References (49)
  • 2
    • 0001779878 scopus 로고
    • Estimation of the parameters of a single equation in a complete system of stochastic equations
    • T.W. Anderson, and H. Rubin Estimation of the parameters of a single equation in a complete system of stochastic equations Annals of Mathematical Statistics 20 1949 46 63
    • (1949) Annals of Mathematical Statistics , vol.20 , pp. 46-63
    • Anderson, T.W.1    Rubin, H.2
  • 4
    • 84881844837 scopus 로고
    • Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations
    • M. Arellano, and S.R. Bond Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations Review of Economic Studies 58 1991 277 297
    • (1991) Review of Economic Studies , vol.58 , pp. 277-297
    • Arellano, M.1    Bond, S.R.2
  • 7
    • 84977602459 scopus 로고    scopus 로고
    • Empirical asset pricing and statistical power in the presence of weak risk factors
    • Burnside, A.C.; 2007. Empirical asset pricing and statistical power in the presence of weak risk factors. NBER Working Paper 13357.
    • (2007) NBER Working Paper 13357
    • Burnside, A.C.1
  • 8
    • 34547676244 scopus 로고    scopus 로고
    • Efficient estimation of general dynamic models with a continuum of moment conditions
    • DOI 10.1016/j.jeconom.2006.07.013, PII S0304407606001473
    • M. Carrasco, M. Chernov, J.P. Florens, and E. Ghysels Efficient estimation of general dynamic models with a continuum of moment conditions Journal of Econometrics 140 2007 529 573 (Pubitemid 47223544)
    • (2007) Journal of Econometrics , vol.140 , Issue.2 , pp. 529-573
    • Carrasco, M.1    Chernov, M.2    Florens, J.-P.3    Ghysels, E.4
  • 9
    • 0034365768 scopus 로고    scopus 로고
    • Generalization of GMM to a continuum of moment conditions
    • M. Carrasco, and J.P. Florens Generalization of GMM to a continuum of moment conditions Econometric Theory 17 2000 794 834
    • (2000) Econometric Theory , vol.17 , pp. 794-834
    • Carrasco, M.1    Florens, J.P.2
  • 11
    • 34547678276 scopus 로고    scopus 로고
    • Estimation and inference on identified parameter sets
    • V. Chernozhukov, H. Hong, and E. Tamer Estimation and inference on identified parameter sets Econometrica 75 2007 1243 1284
    • (2007) Econometrica , vol.75 , pp. 1243-1284
    • Chernozhukov, V.1    Hong, H.2    Tamer, E.3
  • 12
    • 38249014082 scopus 로고
    • Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
    • I. Choi, and P.C.B. Phillips Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations Journal of Econometrics 51 1992 113 150
    • (1992) Journal of Econometrics , vol.51 , pp. 113-150
    • Choi, I.1    Phillips, P.C.B.2
  • 13
    • 0006260747 scopus 로고    scopus 로고
    • Monetary policy rules and macroeconomic stability: Evidence and some theory
    • R.R. Clarida, J. Gal, and M. Gertler Monetary policy rules and macroeconomic stability: evidence and some theory Quarterly Journal of Economics 115 2000 147 180
    • (2000) Quarterly Journal of Economics , vol.115 , pp. 147-180
    • Clarida, R.R.1    Gal, J.2    Gertler, M.3
  • 14
    • 79960206706 scopus 로고    scopus 로고
    • Determinacy and identification with taylor rules
    • 101086/660817
    • J.H. Cochrane Determinacy and identification with taylor rules Journal of Political Economy 119 3 2011 565 615 10.1086/660817
    • (2011) Journal of Political Economy , vol.119 , Issue.3 , pp. 565-615
    • Cochrane, J.H.1
  • 15
    • 21144470245 scopus 로고
    • Testing identifiability and specification in instrumental variable models
    • J.G. Cragg, and S.G. Donald Testing identifiability and specification in instrumental variable models Econometric Theory 9 1993 222 240
    • (1993) Econometric Theory , vol.9 , pp. 222-240
    • Cragg, J.G.1    Donald, S.G.2
  • 16
    • 0000148688 scopus 로고    scopus 로고
    • Inferring the rank of a matrix
    • PII S0304407695017908
    • J.G. Cragg, and S.G. Donald Inferring the rank of a matrix Journal of Econometrics 76 1997 223 250 (Pubitemid 127415801)
    • (1997) Journal of Econometrics , vol.76 , Issue.1-2 , pp. 223-250
    • Cragg, J.G.1    Donald, S.G.2
  • 17
    • 0000663588 scopus 로고
    • The distribution of a quadratic form in normal variables (Algorithm AS 256.3)
    • R.W. Farebrother The distribution of a quadratic form in normal variables (Algorithm AS 256.3) Applied Statistics 39 1990 294 309
    • (1990) Applied Statistics , vol.39 , pp. 294-309
    • Farebrother, R.W.1
  • 19
    • 0035005619 scopus 로고    scopus 로고
    • European inflation dynamics
    • DOI 10.1016/S0014-2921(00)00105-7, PII S0014292100001057
    • J. Gal, M. Gertler, and J.D. Lpez-Salido European inflation dynamics European Economic Review 45 2001 1237 1270 (Pubitemid 32526906)
    • (2001) European Economic Review , vol.45 , Issue.7 , pp. 1237-1270
    • Gali, J.1    Gertler, M.2    Lopez-Salido J.David3
  • 20
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • L.P. Hansen Large sample properties of generalized method of moments estimators Econometrica 50 1982 1029 1054
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 22
    • 0001292054 scopus 로고
    • A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
    • L.P. Hansen A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators Journal of Econometrics 30 1985 203 238
    • (1985) Journal of Econometrics , vol.30 , pp. 203-238
    • Hansen, L.P.1
  • 24
    • 85017108575 scopus 로고
    • Generalized instrumental variables estimation of nonlinear rational expectations models
    • L.P. Hansen, and K.J. Singleton Generalized instrumental variables estimation of nonlinear rational expectations models Econometrica 50 1982
    • (1982) Econometrica , vol.50
    • Hansen, L.P.1    Singleton, K.J.2
  • 25
    • 40849105983 scopus 로고
    • Stochastic consumption, risk aversion and the temporal behavior of asset returns
    • L.P. Hansen, and K.J. Singleton Stochastic consumption, risk aversion and the temporal behavior of asset returns Journal of Political Economy 91 1983
    • (1983) Journal of Political Economy , vol.91
    • Hansen, L.P.1    Singleton, K.J.2
  • 26
    • 0030529419 scopus 로고    scopus 로고
    • Efficient estimation of linear asset-pricing models with moving average errors
    • Lars Peter Hansen, and Kenneth J. Singleton Efficient estimation of linear asset-pricing models with moving average errors Journal of Business & Economic Statistics 14 1996 53 68
    • (1996) Journal of Business & Economic Statistics , vol.14 , pp. 53-68
    • Hansen, L.P.1    Singleton, K.J.2
  • 27
    • 84890663370 scopus 로고    scopus 로고
    • Princeton University Press Princeton, NJ
    • F. Hayashi Econometrics 2000 Princeton University Press Princeton, NJ
    • (2000) Econometrics
    • Hayashi, F.1
  • 28
    • 0011408454 scopus 로고
    • On the normalization of structural equations: Properties of direction estimators
    • G.H. Hillier On the normalization of structural equations: properties of direction estimators Econometrica 58 1990 1181 1194
    • (1990) Econometrica , vol.58 , pp. 1181-1194
    • Hillier, G.H.1
  • 29
    • 0001507590 scopus 로고
    • Computing the distribution of quadratic forms in normal variables
    • J.P. Imhof Computing the distribution of quadratic forms in normal variables Biometrika 48 1961 419 426
    • (1961) Biometrika , vol.48 , pp. 419-426
    • Imhof, J.P.1
  • 31
    • 22544477160 scopus 로고    scopus 로고
    • Testing parameters in GMM without assuming that they are identified
    • DOI 10.1111/j.1468-0262.2005.00610.x
    • F. Kleibergen Testing parameters in GMM without assuming that they are identified Econometrica 73 2005 1103 1123 (Pubitemid 41638525)
    • (2005) Econometrica , vol.73 , Issue.4 , pp. 1103-1123
    • Kleibergen, F.1
  • 32
    • 69249098513 scopus 로고    scopus 로고
    • Asset pricing implications of Pareto optimality with private information
    • N. Kocherlakota, and L. Pistaferri Asset pricing implications of Pareto optimality with private information Journal of Political Economy 117 2009 555 590
    • (2009) Journal of Political Economy , vol.117 , pp. 555-590
    • Kocherlakota, N.1    Pistaferri, L.2
  • 34
    • 0004017534 scopus 로고
    • Studies in Econometric Method
    • The estimation of simultaneous linear economic relationships W.C. Hood, T.C. Koopmans
    • T.C. Koopmans, and W.C. Hood The estimation of simultaneous linear economic relationships W.C. Hood, T.C. Koopmans, Studies in Econometric Method Cowles Commission Monograph Number vol. 14 1953 Wiley (Chapter 6)
    • (1953) Cowles Commission Monograph Number , vol.14
    • Koopmans, T.C.1    Hood, W.C.2
  • 35
    • 22544474667 scopus 로고    scopus 로고
    • Identification issues in forward-looking models estimated by GMM, with an application to the Phillips curve
    • DOI 10.1353/mcb.2005.0031
    • S. Mavroeidis Identification issues in forward-looking models estimated by GMM, with an application to the Phillips curve Journal of Money, Credit and Banking 37 2005 421 448 (Pubitemid 41017047)
    • (2005) Journal of Money, Credit and Banking , vol.37 , Issue.3 , pp. 421-448
    • Mavroeidis, S.1
  • 37
    • 79956260294 scopus 로고    scopus 로고
    • Estimation and evaluation of conditional asset pricing models
    • S. Nagel, and K.J. Singleton Estimation and evaluation of conditional asset pricing models Journal of Finance 66 3 2011 873 909
    • (2011) Journal of Finance , vol.66 , Issue.3 , pp. 873-909
    • Nagel, S.1    Singleton, K.J.2
  • 39
    • 84974291840 scopus 로고
    • Partially identified econometric models
    • P.C.B. Phillips Partially identified econometric models Econometric Theory 5 1989 181 240
    • (1989) Econometric Theory , vol.5 , pp. 181-240
    • Phillips, P.C.B.1
  • 41
    • 0001727688 scopus 로고
    • Identification in parametric models
    • T.J. Rothenberg Identification in parametric models Econometrica 39 1971 577 591
    • (1971) Econometrica , vol.39 , pp. 577-591
    • Rothenberg, T.J.1
  • 42
    • 0001755034 scopus 로고
    • The estimation of economic relationships using instrumental variables
    • J.D. Sargan The estimation of economic relationships using instrumental variables Econometrica 26 1958 393 415
    • (1958) Econometrica , vol.26 , pp. 393-415
    • Sargan, J.D.1
  • 43
    • 0003171726 scopus 로고
    • The estimation of relationships with autocorrelated residuals by the use of instrumental variables
    • J.D. Sargan The estimation of relationships with autocorrelated residuals by the use of instrumental variables Journal of the Royal Statistical Society: Series B 21 1959 91 105
    • (1959) Journal of the Royal Statistical Society: Series B , vol.21 , pp. 91-105
    • Sargan, J.D.1
  • 44
    • 0000630946 scopus 로고
    • Identification and lack of identification
    • J.D. Sargan Identification and lack of identification Econometrica 51 1983 1605 1633
    • (1983) Econometrica , vol.51 , pp. 1605-1633
    • Sargan, J.D.1
  • 46
    • 0000328019 scopus 로고    scopus 로고
    • GMM with weak identification
    • J.H. Stock, and J.H. Wright GMM with weak identification Econometrica 68 2000 1055 1096
    • (2000) Econometrica , vol.68 , pp. 1055-1096
    • Stock, J.H.1    Wright, J.H.2
  • 47
    • 0036790491 scopus 로고    scopus 로고
    • A survey of weak instruments and weak identification in generalized method of moments
    • J.H. Stock, J.H. Wright, and M. Yogo A survey of weak instruments and weak identification in generalized method of moments Journal of Business and Economic Statistics 20 2002 518 529
    • (2002) Journal of Business and Economic Statistics , vol.20 , pp. 518-529
    • Stock, J.H.1    Wright, J.H.2    Yogo, M.3
  • 48
    • 0037704660 scopus 로고    scopus 로고
    • Detecting lack of identification in GMM
    • DOI 10.1017/S0266466603192055
    • J.H. Wright Detecting lack of identification in GMM Econometric Theory 19 2003 322 330 (Pubitemid 36891763)
    • (2003) Econometric Theory , vol.19 , Issue.2 , pp. 322-330
    • Wright, J.H.1
  • 49
    • 84859147143 scopus 로고    scopus 로고
    • Consistency of plug-in estimators of upper contour and level sets
    • 101017/S0266466611000144
    • N. Yildiz Consistency of plug-in estimators of upper contour and level sets Econometric Theory 28 2012 309 327 10.1017/S0266466611000144
    • (2012) Econometric Theory , vol.28 , pp. 309-327
    • Yildiz, N.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.