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Testing the adequacy of conventional asymptotics in GMM

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  • Jonathan H. Wright
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    Abstract

    This paper proposes a new test of the null hypothesis that a generalized method of moments model is sufficiently well identified for conventional asymptotics to be reliable. The idea of the test is to compare the volume of two confidence sets: one that is robust to lack of identification and one that is not. Under the null hypothesis, the relative volume of these two sets is O_p(1), but under the alternative, the robust confidence set has high probability of being unbounded. Copyright The Author(s). Journal compilation Royal Economic Society 2010.

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    Bibliographic Info

    Article provided by Royal Economic Society in its journal Econometrics Journal.

    Volume (Year): 13 (2010)
    Issue (Month): 2 (07)
    Pages: 205-217

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    Handle: RePEc:ect:emjrnl:v:13:y:2010:i:2:p:205-217

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