Testing Parameters in GMM without Assuming that they are identified

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 (...)

MoreLess

Year of publication:	2001
Authors:	Kleibergen, Frank
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Statistischer Test \| Schätztheorie \| Theorie \| Momentenmethode \| Weak instruments \| Size distortions \| Covariance matrix estimators \| stochastic discount factors

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Tinbergen Institute Discussion Paper ; 01-067/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	834299054 [GVK] hdl:10419/86037 [Handle] RePEc:dgr:uvatin:20010067 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010325007