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Conditional Moment Models under Semi-Strong Identification

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Abstract

We consider models defined by conditional moment restrictions under semi-strong identification. Identification strength is directly defined through the conditional mo- ments that flatten as the sample size increases. The framework allows for different iden- tification strengths across parameter’s components. We propose a minimum distance estimator that is robust to semi-strong identification and does not rely on the choice of a user-chosen parameter, such as the number of instruments or any other smoothing parameter. Our method yields consistent and asymptotically normal estimators of each parameter’s components. Heteroskedasticity-robust inference is possible through Wald testing without prior knowledge of the identification pattern. In simulations, we find that our estimator is competitive with alternative estimators based on many instruments. In particular, it is well-centered with better coverage rates for confidence intervals.

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File URL: http://www.sfu.ca/econ-research/RePEc/sfu/sfudps/dp11-04.pdf
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Bibliographic Info

Paper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp11-04.

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Length: 46
Date of creation: Sep 2011
Date of revision: Dec 2012
Handle: RePEc:sfu:sfudps:dp11-04

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Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Phone: (778)782-3508
Fax: (778)782-5944
Web page: http://www.sfu.ca/economics.html
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Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
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Web: http://www.sfu.ca/economics/research/publications.html

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Keywords: Asset Markets; Uncertainty; Experimental Economics;

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  1. Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen & John C. Chao & Norman R. Swanson, 2012. "Instrumental variable estimation with heteroskedasticity and many instruments," Quantitative Economics, Econometric Society, vol. 3(2), pages 211-255, 07.
  2. Hahn, Jinyong & Kuersteiner, Guido, 2002. "Discontinuities of weak instrument limiting distributions," Economics Letters, Elsevier, vol. 75(3), pages 325-331, May.
  3. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
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