A SIMPLE TEST FOR IDENTIFICATION IN GMM UNDER CONDITIONAL MOMENT RESTRICTIONS By
نویسندگان
چکیده
This paper proposes a simple, fairly general, test for global identi cation of unconditional moment restrictions implied from pointidenti ed conditional moment restrictions. The test is based on the Hausdor distance between an estimator that is consistent even under global identi cation failure of the unconditional moment restrictions, and an estimator of the identi ed set of the unconditional moment restrictions. The proposed test has a chi-squared limiting distribution and is also able to detect weak identi cation alternatives. Some Monte Carlo experiments show that the proposed test has competitive nite sample properties already for moderate sample sizes.
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