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A Simple Test for Identification in GMM under Conditional Moment Restrictions

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Abstract

This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification failure of the unconditional moment restrictions, and an estimator of the identified set of the unconditional moment restrictions. The proposed test has a chi-squared limiting distribution and is also able to detect weak identification alternatives. Some Monte Carlo experiments show that the proposed test has competitive finite sample properties already for moderate sample sizes.

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File URL: http://cowles.econ.yale.edu/P/cd/d17b/d1790.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1789.

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Length: 20 pages
Date of creation: Mar 2011
Date of revision:
Handle: RePEc:cwl:cwldpp:1790

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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Conditional moment restrictions; Generalized method of moments; Global identification; Hausman test; Asset pricing;

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Cited by:
  1. Xiaohong Chen & David T. Jacho-Chavez & Oliver Linton, 2012. "Averaging of moment condition estimators," CeMMAP working papers CWP26/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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