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Underidentification? (Resumen)

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We develop methods for testing the hypothesis that an econometric model is undeerindentified and inferring the nature of the failed identification. By adopting a generalized-method-of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the econometric specification. We establish the link between a test for overidentifacion and our proposed test for underidentification. If, after attempting to replicate the structural relation, we find substantial evidence against the overidentifying restrictions of an augmented model, this is evidence against underidentification of the original model.

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File URL: http://www.cemfi.es/ftp/wp/0905.pdf
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Paper provided by CEMFI in its series Working Papers with number wp2009_0905.

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Date of creation: Aug 2009
Handle: RePEc:cmf:wpaper:wp2009_0905
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  1. Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 223-250.
  2. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
  3. Roberto Serrano, 2007. "Cooperative Games: Core and Shapley Value," Working Papers 2007-11, Brown University, Department of Economics.
  4. Bentolila, Samuel & Dolado, Juan J. & Jimeno, Juan F, 2007. "Does Immigration Affect the Phillips Curve? Some Evidence for Spain," CEPR Discussion Papers 6604, C.E.P.R. Discussion Papers.
  5. Gagliarducci, Stefano & Nannicini, Tommaso & Naticchioni, Paolo, 2008. "Electoral Rules and Politicians’ Behavior: A Micro Test," IZA Discussion Papers 3348, Institute for the Study of Labor (IZA).
  6. repec:cmf:wpaper:wp2008_0809 is not listed on IDEAS
  7. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
  8. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
  9. Hansen, Lars Peter, 1985. "A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 203-238.
  10. Hospido, Laura, 2010. "Modelling Heterogeneity and Dynamics in the Volatility of Individual Wages," IZA Discussion Papers 4712, Institute for the Study of Labor (IZA).
  11. Alonso-Borrego, Cesar & Arellano, Manuel, 1999. "Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 36-49, January.
  12. Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2009. "Mitigating the Procyclicality of Basel II," Working Papers wp2009_0903, CEMFI.
  13. Robert J. Aumann & Roberto Serrano, 2006. "An Economic Index of Riskiness," Levine's Bibliography 321307000000000585, UCLA Department of Economics.
  14. Enrique Moral-Benito, 2010. "Determinants of economic growth: A Bayesian panel data approach," Working Papers 1031, Banco de España;Working Papers Homepage.
  15. Cabrales, Antonio & Serrano, Roberto, 2007. "Implementation in adaptive better-response dynamics," UC3M Working papers. Economics we075731, Universidad Carlos III de Madrid. Departamento de Economía.
  16. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
  17. repec:cmf:wpaper:wp2007_0716 is not listed on IDEAS
  18. Cragg, John G. & Donald, Stephen G., 1993. "Testing Identifiability and Specification in Instrumental Variable Models," Econometric Theory, Cambridge University Press, vol. 9(02), pages 222-240, April.
  19. repec:cmf:wpaper:wp2008_0801 is not listed on IDEAS
  20. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
  21. Max Bruche & Javier Suarez, 2009. "The Macroeconomics of Money Market Freezes," Working Papers wp2009_0901, CEMFI.
  22. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
  23. repec:cmf:wpaper:wp2007_0712 is not listed on IDEAS
  24. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
  25. Mendez, Ildefonso, 2008. "Promoting Permanent Employment: Lessons from Spain," MPRA Paper 7933, University Library of Munich, Germany.
  26. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
  27. repec:cmf:wpaper:wp2007_0710 is not listed on IDEAS
  28. repec:cmf:wpaper:wp2007_0713 is not listed on IDEAS
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