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Underidentification?

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  • Manuel Arellano

    ()
    (CEMFI, Centro de Estudios Monetarios y Financieros)

  • Lars Peter Hansen

    ()
    (Chicago University)

  • Enrique Sentana

    ()
    (CEMFI, Centro de Estudios Monetarios y Financieros)

Abstract

We develop methods for testing the hypothesis that an econometric model is undeerindentified and inferring the nature of the failed identification. By adopting a generalized-method-of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the econometric specification. We establish the link between a test for overidentifacion and our proposed test for underidentification. If, after attempting to replicate the structural relation, we find substantial evidence against the overidentifying restrictions of an augmented model, this is evidence against underidentification of the original model.

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Bibliographic Info

Paper provided by CEMFI in its series Working Papers with number wp2009_0905.

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Date of creation: Aug 2009
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Handle: RePEc:cmf:wpaper:wp2009_0905

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