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Testing Parameters in GMM without Assuming that they are identified

We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the <I>K</I> 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 (...)<P>This discussion paper has resulted in a publication in <A href="http://www.jstor.org/stable/3598816"><I>Econometrica</I></A>, 2005, 73(4), 1103-23.
Year of publication:
2001-07-11
Authors: Kleibergen, Frank
Institutions: Tinbergen Instituut
Subject: Weak instruments | Size distortions | Covariance matrix estimators | stochastic discount factors
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Type of publication: Book / Working Paper
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The text is part of a series Tinbergen Institute Discussion Papers Number 01-067/4
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Persistent link: https://www.econbiz.de/10011256972
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