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Testing Parameters in GMM without Assuming that they are identified

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  • Frank Kleibergen

    ()
    (University of Amsterdam)

Abstract

We 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 Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-067/4.

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Date of creation: 11 Jul 2001
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Handle: RePEc:dgr:uvatin:20010067

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Web page: http://www.tinbergen.nl

Related research

Keywords: Weak instruments; Size distortions; Covariance matrix estimators; stochastic discount factors;

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