Gmm Estimation and Uniform Subvector Inference with Possible Identification Failure By

SUPPLEMENT TO GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE By

Gmm Estimation and Uniform Subvector Inference with Possible Identification Failure

This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CSs) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The...

Supplemental Appendix to MAXIMUM LIKELIHOOD ESTIMATION AND UNIFORM INFERENCE WITH SPORADIC IDENTIFICATION FAILURE By

Sensitivity analysis for inference in 2SLS/GMM estimation with possibly flawed instruments

Abstract. Credible inference requires attention to the possible fragility of the results (p-values for key hypothesis tests) to flaws in the model assumptions, notably accounting for the validity of the instruments used. Past sensitivity analysis has mainly consisted of experimentation with alternative model specifications and with tests of over-identifying restrictions which actually presuppos...

Generalized Method of Moments

This entry describes the basic framework for statistical estimation and inference using Generalized Method of Moments and also illustrates the types of empirical models in finance to which these techniques have been applied. GeneralizedMethod of Moments (GMM) provides a computationally convenientmethod of obtaining consistent and asymptotically normally distributed estimators of the parameters ...