Advanced Search
MyIDEAS: Login

Citations for "Testing Parameters in GMM without Assuming that they are identified"

by Frank Kleibergen

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Doko Tchatoka, Firmin, 2010. "Subset hypotheses testing and instrument exclusion in the linear IV regression," MPRA Paper 29611, University Library of Munich, Germany, revised 02 Feb 2012.
  2. Caner, Mehmet, 2007. "Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases," Journal of Econometrics, Elsevier, Elsevier, vol. 137(1), pages 28-67, March.
  3. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
  5. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 21/05, Monash University, Department of Econometrics and Business Statistics.
  6. Jean-Marie Dufour & Joachim Wilde, 2013. "Weak Identification in Probit Models with Endogenous Covariates," Working Papers, Institute of Empirical Economic Research 95, Institute of Empirical Economic Research, revised 28 Feb 2013.
  7. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers, School of Economics, University of Surrey 0206, School of Economics, University of Surrey.
  8. Thanassis Kazanas & Elias Tzavalis, 2011. "Unveiling the monetary policy rule in euro area," Working Papers, Bank of Greece 130, Bank of Greece.
  9. Aviv Nevo & Adam M. Rosen, 2012. "Identification With Imperfect Instruments," The Review of Economics and Statistics, MIT Press, vol. 94(3), pages 659-671, August.
  10. Bolduc, Denis & Khalaf, Lynda & Yélou, Clément, 2010. "Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 317-327, August.
  11. Mehmet Caner, 2005. "Exponential Tilting With Weak Instruments," Working Papers, University of Pittsburgh, Department of Economics 208, University of Pittsburgh, Department of Economics, revised Jan 2005.
  12. Dufour, Jean-Marie & Taamouti, Mohamed, 2007. "Further results on projection-based inference in IV regressions with weak, collinear or missing instruments," Journal of Econometrics, Elsevier, Elsevier, vol. 139(1), pages 133-153, July.
  13. Zisimos Koustas & Jean-François Lamarche, 2012. "Instrumental variable estimation of a nonlinear Taylor rule," Empirical Economics, Springer, Springer, vol. 42(1), pages 1-20, February.
  14. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "Estimation uncertainty in structural inflation models with real wage rigidities," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2554-2561, November.
  15. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh 168, Edinburgh School of Economics, University of Edinburgh.
  16. Guggenberger, Patrik & Smith, Richard J., 2005. "Generalized Empirical Likelihood Estimators And Tests Under Partial, Weak, And Strong Identification," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 21(04), pages 667-709, August.
  17. Harun Mirza & Lidia Storjohann, 2011. "Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule," Bonn Econ Discussion Papers, University of Bonn, Germany bgse13_2012, University of Bonn, Germany.
  18. Maurice J. G. Bun & Frank Windmeijer, 2010. "The weak instrument problem of the system GMM estimator in dynamic panel data models," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 13(1), pages 95-126, 02.
  19. Jun, Sung Jae, 2008. "Weak identification robust tests in an instrumental quantile model," Journal of Econometrics, Elsevier, Elsevier, vol. 144(1), pages 118-138, May.
  20. Gomes, Fábio Augusto Reis & Paz, Lourenço S., 2013. "Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 36(C), pages 63-75.
  21. Hayakawa, Kazuhiko, 2009. "On the effect of mean-nonstationarity in dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 153(2), pages 133-135, December.
  22. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips Curve," Working Papers, Queen's University, Department of Economics 1026, Queen's University, Department of Economics.
  23. Pål Boug & Ådne Cappelen & Anders Rygh Swensen, 2007. "The New Keynesian Phillips Curve revisited," Discussion Papers, Research Department of Statistics Norway 500, Research Department of Statistics Norway.
  24. Mehmet Caner, 2005. "Higher Order Expansions in GMM with Nearly Weak and Many Nearly Weak Instruments," Working Papers, University of Pittsburgh, Department of Economics 209, University of Pittsburgh, Department of Economics, revised Jan 2005.
  25. Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, Elsevier, vol. 173(1), pages 36-56.
  26. Scheufele, Rolf, 2010. "Evaluating the German (New Keynesian) Phillips curve," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 21(2), pages 145-164, August.
  27. Tobias Schlueter & Soenke Sievers, 2014. "Determinants of market beta: the impacts of firm-specific accounting figures and market conditions," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 42(3), pages 535-570, April.
  28. Leandro M. Magnusson & Sophocles Mavroeidis, 2011. "Identification Using Stability Restrictions," Working Papers, Tulane University, Department of Economics 1116, Tulane University, Department of Economics.
  29. Vasco Gabriel & Paul Levine & Christopher Spencer & Bo Yang, 2008. "On the (ir)relevance of direct supply-side effects of monetary policy," School of Economics Discussion Papers, School of Economics, University of Surrey 0408, School of Economics, University of Surrey.
  30. Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, Elsevier, vol. 149(2), pages 149-173, April.
  31. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  32. Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.
  33. Shen, Yan & Shen, Minggao & Xu, Zhong & Bai, Ying, 2009. "Bank Size and Small- and Medium-sized Enterprise (SME) Lending: Evidence from China," World Development, Elsevier, Elsevier, vol. 37(4), pages 800-811, April.
  34. Andrews, Donald W.K. & Guggenberger, Patrik, 2010. "Applications of subsampling, hybrid, and size-correction methods," Journal of Econometrics, Elsevier, Elsevier, vol. 158(2), pages 285-305, October.
  35. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(9), pages 1582-1595, September.
  36. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 379-398, January.
  37. Martins, Luis F. & Gabriel, Vasco J., 2009. "New Keynesian Phillips Curves and potential identification failures: A Generalized Empirical Likelihood analysis," Journal of Macroeconomics, Elsevier, Elsevier, vol. 31(4), pages 561-571, December.
  38. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, Springer, vol. 29(1), pages 233-261, February.
  39. Saraswata Chaudhuri & Elaina Rose, 2009. "Estimating the Veteran Effect with Endogenous Schooling when Instruments are Potentially Weak," Working Papers, University of Washington, Department of Economics UWEC-2009-07, University of Washington, Department of Economics.
  40. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 134-161, January.
  41. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings, Econometric Society 408, Econometric Society.
  42. Antoine, Bertille & Renault, Eric, 2012. "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, Elsevier, vol. 170(2), pages 350-367.
  43. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Papers, University of Pittsburgh, Department of Economics 212, University of Pittsburgh, Department of Economics, revised Jan 2006.
  44. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
  45. Saraswata Chaudhuri & Eric Zivot, 2008. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers, University of Washington, Department of Economics UWEC-2008-26, University of Washington, Department of Economics.
  46. Doko Tchatoka, Firmin, 2012. "Testing for partial exogeneity with weak identification," Working Papers, University of Tasmania, School of Economics and Finance 14565, University of Tasmania, School of Economics and Finance, revised 31 May 2012.
  47. A. Belloni & D. Chen & Victor Chernozhukov & Christian Hansen, 2010. "Sparse models and methods for optimal instruments with an application to eminent domain," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP31/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  48. Mehmet Caner, 2011. "A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics," International Econometric Review (IER), Econometric Research Association, Econometric Research Association, vol. 3(2), pages 13-21, September.
  49. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers, Tulane University, Department of Economics 0801, Tulane University, Department of Economics, revised Apr 2009.
  50. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1813, Cowles Foundation for Research in Economics, Yale University.
  51. Bertille Antoine & Eric Renault, 2012. "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers dp12-04, Department of Economics, Simon Fraser University.
  52. Doko Tchatoka, Firmin, 2012. "Specification tests with weak and invalid instruments," Working Papers, University of Tasmania, School of Economics and Finance 15063, University of Tasmania, School of Economics and Finance, revised 26 Jun 2012.
  53. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, Elsevier, vol. 146(1), pages 107-117, September.
  54. Maurice J.G. Bun & Frank Windmeijer, 2009. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 09-086/4, Tinbergen Institute.
  55. Bolduc, Denis & Khalaf, Lynda & Moyneur, Érick, 2008. "Identification-robust simulation-based inference in joint discrete/continuous models for energy markets," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3148-3161, February.
  56. Arturas Juodis, 2013. "Cointegration Testing in Panel VAR Models Under Partial Identification and Spatial Dependence," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 13-08, Universiteit van Amsterdam, Dept. of Econometrics.
  57. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  58. Maurice J.G. Bun & Frank Kleibergen, 2013. "Identification and inference in moments based analysis of linear dynamic panel data models," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 13-07, Universiteit van Amsterdam, Dept. of Econometrics.
  59. Majid Al-Sadoon, 2014. "A General Theory of Rank Testing," Working Papers 750, Barcelona Graduate School of Economics.
  60. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, Elsevier, vol. 162(2), pages 268-277, June.
  61. Leandro M. Magnusson, 2008. "Tests in Censored Models when the Structural Parameters Are Not Identified," Working Papers, Tulane University, Department of Economics 0802, Tulane University, Department of Economics.
  62. Yukitoshi Matsushita, 2007. "t-Tests in a Structural Equation with Many Instruments," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-467, CIRJE, Faculty of Economics, University of Tokyo.
  63. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, Elsevier, vol. 139(1), pages 181-216, July.
  64. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
  65. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Working Papers, Bank of Canada 13-10, Bank of Canada.
  66. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, Elsevier, vol. 170(2), pages 331-349.
  67. Shibamoto, Masahiko, 2008. "The estimation of monetary policy reaction function in a data-rich environment: The case of Japan," Japan and the World Economy, Elsevier, Elsevier, vol. 20(4), pages 497-520, December.