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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 (...)
Year of publication:
2001-07-11
Authors: Kleibergen, Frank
Institutions: Tinbergen Institute
Subject: Weak instruments | Size distortions | Covariance matrix estimators | stochastic discount factors
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
The text is part of a series Tinbergen Institute Discussion Papers Number 01-067/4
Source:
Persistent link: https://www.econbiz.de/10005281694
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