Testing Parameters in GMM without Assuming that they are identified
AbstractWe propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the K statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic (...) This discussion paper has resulted in a publication in Econometrica , 2005, 73(4), 1103-23.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-067/4.
Date of creation: 11 Jul 2001
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Weak instruments; Size distortions; Covariance matrix estimators; stochastic discount factors;
Other versions of this item:
- Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, 07.
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