Search Results - subject:"Weak Identification"

Double robust inference for continuous updating GMM

Kleibergen, Frank; Zhan, Zhaoguo - In: Quantitative Economics 16 (2025) 1, pp. 295-327

robust to both misspecification and weak identification, hence its name. The minimizer is the so-called pseudo-true value … work where misspecification and weak identification are common, we use the DRLM test to analyze: the risk premia in Adrian …

Persistent link: https://www.econbiz.de/10015420286

Efficiency bounds for moment condition models with mixed identification strength

Dovonon, Prosper; Atchadé, Yves F.; Doko Tchatoka, Firmin - In: Journal of econometrics 248 (2025), pp. 1-25

Moment condition models with mixed identification strength are models that are point identified but with estimating moment functions that are allowed to drift to 0 uniformly over the parameter space. Even though identification fails in the limit, depending on how slow the moment functions...

Persistent link: https://www.econbiz.de/10015556403

Weak identification in discrete choice models

Frazier, David T.; Renault, Eric; Zhang, Lina; Zhao, Xueyan - In: Journal of econometrics 248 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015556409

Exogeneity tests and weak identification in IV regressions : asymptotic theory and point estimation

Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: Journal of econometrics 248 (2025), pp. 1-22

Persistent link: https://www.econbiz.de/10015556412

Identification robust inference for the risk premium in term structure models

Kleibergen, Frank; Kong, Lingwei - In: Journal of econometrics 248 (2025), pp. 1-21

Persistent link: https://www.econbiz.de/10015556416

Empirical evidence on the U.S. monetary-fiscal policy mix

Carlevaro, Emiliano A.; Haque, Qazi; Magnusson, Leandro M. - 2025

Persistent link: https://www.econbiz.de/10015420433

Double robust inference for continuous updating GMM

Kleibergen, Frank; Zhan, Zhaoguo - In: Quantitative economics : QE ; journal of the … 16 (2025) 1, pp. 295-327

robust to both misspecification and weak identification, hence its name. The minimizer is the so‐called pseudo‐true value … work where misspecification and weak identification are common, we use the DRLM test to analyze: the risk premia in Adrian …

Persistent link: https://www.econbiz.de/10015190343

Optimal estimation of two-way effects under limited mobility

Cheng, Xu; Ho, Sheng Chao; Schorfheide, Frank - 2025 - This version: June 27, 2025

Persistent link: https://www.econbiz.de/10015470648

Locally robust inference for non-Gaussian SVAR models

Hoesch, Lukas; Lee, Adam; Mesters, Geert - In: Quantitative Economics 15 (2024) 2, pp. 523-570

(2015) this is not the case. Moreover, these exercises highlight the importance of using weak identification robust methods …

Persistent link: https://www.econbiz.de/10015420304

Identifying the volatility risk price through the leverage effect

Cheng, Xu; Renault, Eric; Sangrey, Paul - 2024 - This version: April 23, 2024

Persistent link: https://www.econbiz.de/10014580927