IDEAS home Printed from
   My bibliography  Save this article

Testing the adequacy of conventional asymptotics in GMM


  • Jonathan H. Wright


This paper proposes a new test of the null hypothesis that a generalized method of moments model is sufficiently well identified for conventional asymptotics to be reliable. The idea of the test is to compare the volume of two confidence sets: one that is robust to lack of identification and one that is not. Under the null hypothesis, the relative volume of these two sets is O_p(1), but under the alternative, the robust confidence set has high probability of being unbounded. Copyright The Author(s). Journal compilation Royal Economic Society 2010.

Suggested Citation

  • Jonathan H. Wright, 2010. "Testing the adequacy of conventional asymptotics in GMM," Econometrics Journal, Royal Economic Society, vol. 13(2), pages 205-217, July.
  • Handle: RePEc:ect:emjrnl:v:13:y:2010:i:2:p:205-217

    Download full text from publisher

    File URL:
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:13:y:2010:i:2:p:205-217. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.