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Maximum likelihood estimation and uniform inference with sporadic identification failure

  • Andrews, Donald W.K.
  • Cheng, Xu

This paper analyzes the properties of a class of estimators, tests, and confidence sets (CSs) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter θ. This includes log likelihood, quasi-log likelihood, and least squares criterion functions.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 173 (2013)
Issue (Month): 1 ()
Pages: 36-56

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Handle: RePEc:eee:econom:v:173:y:2013:i:1:p:36-56
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. 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 1813, Cowles Foundation for Research in Economics, Yale University.
  2. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
  3. Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
  4. Charles Nelson & Richard Startz, 2004. "The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models," Working Papers UWEC-2004-03-FC, University of Washington, Department of Economics.
  5. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
  6. Nelson, Charles R & Startz, Richard, 1990. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 58(4), pages 967-76, July.
  7. Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
  8. Donald W. K. Andrews & Xu Cheng, 2012. "Estimation and Inference With Weak, Semi‐Strong, and Strong Identification," Econometrica, Econometric Society, vol. 80(5), pages 2153-2211, 09.
  9. Lundbergh, Stefan & Teräsvirta, Timo, 2003. "A time series model for an exchange rate in a target zone with applications," SSE/EFI Working Paper Series in Economics and Finance 533, Stockholm School of Economics.
  10. Andrews, Donald W.K. & Cheng, Xu, 2014. "Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure," Econometric Theory, Cambridge University Press, vol. 30(02), pages 287-333, April.
  11. Bertille Antoine & Eric Renault, 2012. "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers dp12-04, Department of Economics, Simon Fraser University.
  12. Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November.
  13. de Jong, Robert M., 1997. "Central Limit Theorems for Dependent Heterogeneous Random Variables," Econometric Theory, Cambridge University Press, vol. 13(03), pages 353-367, June.
  14. Phillips, P.C.B., 1989. "Partially Identified Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(02), pages 181-240, August.
  15. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
  16. Bruce E. Hansen, 1994. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Boston College Working Papers in Economics 295., Boston College Department of Economics.
  17. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
  18. Mehmet Caner, 2010. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 330-363.
  19. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07.
  20. Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, 07.
  21. Andrews, Donald W.K., 1988. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Econometric Theory, Cambridge University Press, vol. 4(03), pages 458-467, December.
  22. Andrews, Donald W.K. & Guggenberger, Patrik, 2010. "ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP," Econometric Theory, Cambridge University Press, vol. 26(02), pages 426-468, April.
  23. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
  24. In Choi & Peter C.B. Phillips, 1989. "Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations," Cowles Foundation Discussion Papers 929, Cowles Foundation for Research in Economics, Yale University.
  25. Bhattacharya, Rabi & Lee, Chanho, 1995. "On geometric ergodicity of nonlinear autoregressive models," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 311-315, March.
  26. Tripathi, Gautam, 1999. "A matrix extension of the Cauchy-Schwarz inequality," Economics Letters, Elsevier, vol. 63(1), pages 1-3, April.
  27. Bertille Antoine & Eric Renault, 2009. "Efficient GMM with nearly-weak instruments," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages S135-S171, 01.
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