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Underidentification?

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  • Manuel Arellano

    (CEMFI)

  • Lars P. Hansen

    (University of Chicago)

  • Enrique Sentana

    (CEMFI)

Abstract

We study the identification of an econometric model that is linear in parameters from a generalized-method-of-moments perspective. We regard underidentification as a set of over- identifying restrictions imposed on an augmented structural model. Therefore, our proposal is to test for underidentification by testing for overidentification in the augmented model using standard methods that are available in the literature. As examples we consider intertemporal asset pricing and dynamic panel data models.

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File URL: http://fmwww.bc.edu/RePEc/es2000/1824.pdf
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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1824.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:1824

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