IDEAS home Printed from https://ideas.repec.org/h/eme/aecozz/s0731-9053(2012)0000029020.html
   My bibliography  Save this book chapter

A Simple Test for Identification in GMM under Conditional Moment Restrictions

In: Essays in Honor of Jerry Hausman

Author

Listed:
  • Francesco Bravo
  • Juan Carlos Escanciano
  • Taisuke Otsu

Abstract

This chapter proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is a Hausman-type test based on the Hausdorff distance between an estimator that is consistent even under global identification failure of the unconditional moment restrictions, and an estimator of the identified set of the unconditional moment restrictions. The proposed test has a χ2 limiting distribution and is also able to detect weak identification. Some Monte Carlo experiments show that the proposed test has competitive finite sample properties already for moderate sample sizes.

Suggested Citation

  • Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu, 2012. "A Simple Test for Identification in GMM under Conditional Moment Restrictions," Advances in Econometrics, in: Essays in Honor of Jerry Hausman, pages 455-477, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-9053(2012)0000029020
    DOI: 10.1108/S0731-9053(2012)0000029020
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2012)0000029020/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2012)0000029020/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S0731-9053(2012)0000029020
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2012)0000029020/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/S0731-9053(2012)0000029020?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

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

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xiaohong Chen & David Jacho-Chávez & Oliver Linton, 2012. "Averaging of moment condition estimators," CeMMAP working papers 26/12, Institute for Fiscal Studies.
    2. Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
    3. Arthur Lewbel, 2019. "The Identification Zoo: Meanings of Identification in Econometrics," Journal of Economic Literature, American Economic Association, vol. 57(4), pages 835-903, December.

    More about this item

    Keywords

    Conditional moment restrictions; generalized method of moments; global identification; Hausman test; asset pricing;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    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:eme:aecozz:s0731-9053(2012)0000029020. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.