Testing Identification Strength
AbstractWe consider models defined by a set of moment restrictions that may be subject to weak identification. Following the recent literature, the identification of the structural parameters is characterized by the Jacobian of the moment conditions. We unify several definitions of identification that have been used in the literature, and show how they are linked to the consistency and asymptotic normality of GMM estimators. We then develop two tests to assess the identification strength of the structural parameters. Both tests are straightforward to apply. In simulations, our tests are well-behaved when compared to contenders, both in terms of size and power.
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Bibliographic InfoPaper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp12-17.
Date of creation: Sep 2012
Date of revision: Feb 2013
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Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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