Advanced Search
MyIDEAS: Login

Testing, Estimation and Higher Order Expansions in GMM with Semi-Weak Instruments

Contents:

Author Info

  • Mehmet Caner

Abstract

In this paper we analyze GMM with semi-weak instruments. This case includes the standard GMM and the nearly-weak GMM. In the nearly-weak GMM the correlation between the instruments and the first order conditions decline at a slower rate than root T. We find an important difference between the semi-weak case and the weak case. Inference with point estimates are possible with Wald, Likelihood ratio and LM tests in GMM with semi-weak instruments. This is important from an applied perspective since tests on the weak case do depnd on the true value and can only test simple null. Even though we may have all nearly-weak instruments in GMM it is still possible to test various hypotheses of interest. We also find a difference between the two subcategories in the semi-weak case. We derive higher order expansions for test statistics in the semi-weak case, and we show that with declining quality of instrumnents finite sample behavior of these tests get worser, so standard GMM finite sample behavior is always better than nearly-weak GMM. Unlike standard GMM, in the nearly-weak GMM we cannot eliminate the second order terms from these test statistics expansions.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://repec.org/esNASM04/up.31705.1074538860.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 128.

as in new window
Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:ecm:nasm04:128

Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Email:
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC

Related research

Keywords: nearly-weak instruments; Wald statistics; Empirical process;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Iglesias, Emma M. & Phillips, Garry D.A., 2011. "Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments," Cardiff Economics Working Papers E2011/19, Cardiff University, Cardiff Business School, Economics Section.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ecm:nasm04:128. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.