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Exponential Tilting with Weak Instruments: Estimation and Testing

  • Mehmet Caner

This article analyses exponential tilting estimator with weak instruments in a nonlinear framework. Our paper differs from the previous literature in the context of consistency proof. Tests that are robust to the identification problem are also analysed. These are Anderson-Rubin and Kleibergen types of test statistics. We also conduct a simulation study wherein we compare empirical likelihood and continuous updating-based tests with exponential tilting (ET)-based ones. The designs involve GARCH(1,1) and contaminated structural errors. We find that ET-based Kleibergen test has the best size among these competitors. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2010.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0084.2009.00579.x
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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.

Volume (Year): 72 (2010)
Issue (Month): 3 (06)
Pages: 307-325

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Handle: RePEc:bla:obuest:v:72:y:2010:i:3:p:307-325
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  1. Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, vol. 26(2), pages 285-304, October.
  2. Patrik Buggenberger & Richard Smith, 2003. "Generalized empirical likelihood estimators and tests under partial, weak and strong identification," CeMMAP working papers CWP08/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Whitney Newey & Richard Smith, 2003. "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers CWP04/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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