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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. 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.
  2. Robert J. Aumann & Roberto Serrano, 2007. "An Economic Index of Riskiness," Levine's Bibliography 321307000000000836, UCLA Department of Economics.
  3. Roberto Serrano & Antonio Cabrales, 2007. "Implementation in Adaptive Better-Response Dynamics," Working Papers 2007-10, Brown University, Department of Economics.
  4. Laura Hospido, 2007. "Modelling heterogeneity and dynamics in the volatility of individual wages," Working Papers 0738, Banco de España;Working Papers Homepage.
  5. Stefano Gagliarducci & Tommaso Nannicini & Paolo Naticchioni, 2011. "Electoral Rules and Politicians' Behavior: A Micro Test," American Economic Journal: Economic Policy, American Economic Association, vol. 3(3), pages 144-174, August.
  6. Bentolila, Samuel & Dolado, Juan J. & Jimeno, Juan F., 2007. "Does Immigration Affect the Phillips Curve? Some Evidence for Spain," IZA Discussion Papers 3249, Institute for the Study of Labor (IZA).
  7. 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.
  8. Repullo, Rafael & Saurina, Jesús & Trucharte, Carlos, 2009. "Mitigating the Procyclicality of Basel II," CEPR Discussion Papers 7382, C.E.P.R. Discussion Papers.
  9. Enrique Moral-Benito, 2010. "Determinants of economic growth: A Bayesian panel data approach," Working Papers 1031, Banco de España;Working Papers Homepage.
  10. Bruche, Max & Suarez, Javier, 2009. "The Macroeconomics of Money Market Freezes," CEPR Discussion Papers 7304, C.E.P.R. Discussion Papers.
  11. Alonso-Borrego, César & Arrellano, Manuel, 1996. "Symmetrically normalized instrumental-variable estimation using panel data," UC3M Working papers. Economics 4098, Universidad Carlos III de Madrid. Departamento de Economía.
  12. repec:cmf:wpaper:wp2007_0712 is not listed on IDEAS
  13. Roberto Serrano, 2007. "Cooperative Games: Core and Shapley Value," Working Papers 2007-11, Brown University, Department of Economics.
  14. repec:cmf:wpaper:wp2007_0710 is not listed on IDEAS
  15. Mendez, Ildefonso, 2008. "Promoting Permanent Employment: Lessons from Spain," MPRA Paper 7933, University Library of Munich, Germany.
  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. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
  18. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
  19. Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 223-250.
  20. 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.
  21. repec:cmf:wpaper:wp2008_0809 is not listed on IDEAS
  22. 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.
  23. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
  24. repec:cmf:wpaper:wp2007_0716 is not listed on IDEAS
  25. repec:cmf:wpaper:wp2008_0801 is not listed on IDEAS
  26. 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.
  27. repec:cmf:wpaper:wp2007_0713 is not listed on IDEAS
  28. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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