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A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics

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  • Mehmet Caner

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  • Mehmet Caner, 2011. "A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics," International Econometric Review (IER), Economic Research Association, vol. 3(2), pages 13-21, September.
    • Handle: RePEc:erh:journl:v:3:y:2011:i:2:p:13-21
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    File URL: https://dergipark.org.tr/tr/pub/ier/issue/26391/278015
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    References listed on IDEAS

    as
    1. Mehmet Caner, 2010. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 330-363.
    2. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-1083, September.
    3. Hahn, Jinyong & Kuersteiner, Guido, 2002. "Discontinuities of weak instrument limiting distributions," Economics Letters, Elsevier, vol. 75(3), pages 325-331, May.
    4. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
    5. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
    6. Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, July.
    Full references (including those not matched with items on IDEAS)

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