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Testing Parameters in GMM without Assuming that they are identified

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  • Frank Kleibergen

    (University of Amsterdam, the Netherlands)

Abstract

We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the K statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic (...) This discussion paper has resulted in a publication in Econometrica , 2005, 73(4), 1103-23.

Suggested Citation

  • Frank Kleibergen, 2001. "Testing Parameters in GMM without Assuming that they are identified," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20010067
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    Keywords

    Weak instruments; Size distortions; Covariance matrix estimators; stochastic discount factors;
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