Conditional Moment Models under Semi-Strong Identification
We consider models defined by conditional moment restrictions under semi-strong identification. Identification strength is directly defined through the conditional mo- ments that flatten as the sample size increases. The framework allows for different iden- tification strengths across parameter’s components. We propose a minimum distance estimator that is robust to semi-strong identification and does not rely on the choice of a user-chosen parameter, such as the number of instruments or any other smoothing parameter. Our method yields consistent and asymptotically normal estimators of each parameter’s components. Heteroskedasticity-robust inference is possible through Wald testing without prior knowledge of the identification pattern. In simulations, we find that our estimator is competitive with alternative estimators based on many instruments. In particular, it is well-centered with better coverage rates for confidence intervals.
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|Date of revision:||Dec 2012|
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- Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen & John C. Chao & Norman R. Swanson, 2012.
"Instrumental variable estimation with heteroskedasticity and many instruments,"
Econometric Society, vol. 3(2), pages 211-255, 07.
- Jerry Hausman & Whitney Newey & Tiemen Woutersen & John Chao & Norman Swanson, 2007. "Instrumental variable estimation with heteroskedasticity and many instruments," CeMMAP working papers CWP22/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Departmental Working Papers 201111, Rutgers University, Department of Economics.
- Hausman & Newey & Woutersen & Chao & Swanson, 2009. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Economics Working Paper Archive 566, The Johns Hopkins University,Department of Economics.
- Hahn, Jinyong & Kuersteiner, Guido, 2002. "Discontinuities of weak instrument limiting distributions," Economics Letters, Elsevier, vol. 75(3), pages 325-331, May.
- Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
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