Search Results - subject:"weak identiﬁcation"

Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

Ma, Jun; Nelson, Charles; Startz, Richard - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 1, pp. 1434-1434

This paper shows that the Zero-Information-Limit-Condition (ZILC) formulated by Nelson and Startz (2006) holds in the GARCH (1,1) model. As a result, the GARCH estimate tends to have too small a standard error relative to the true one when the ARCH parameter is small, even when sample size...

Persistent link: https://www.econbiz.de/10005246282

The Spirit of Capitalism and Asset Pricing: An Empirical Investigation

Zhang, Qiang - In: Topics in Macroeconomics 6 (2006) 3

and real assets but also human capital. We use weak-identification robust tests to confront these models with U …

Persistent link: https://www.econbiz.de/10014588412

GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006

In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano-Bond estimator depends on the distributional properties of the...

Persistent link: https://www.econbiz.de/10005106329

The Spirit of Capitalism and Asset Pricing: An Empirical Investigation

Zhang, Qiang - In: Topics in Macroeconomics 6 (2006) 3, pp. 1418-1418

and real assets but also human capital. We use weak-identification robust tests to confront these models with U …

Persistent link: https://www.econbiz.de/10005751342

Corruption and Growth Under Weak Identification

Shaw, Philip John; Katsaiti, Marina-Selini; Jurgilas, Marius - Department of Economics, University of Connecticut - 2006

weak identification. He finds a negative impact of corruption on investment and economic growth that appears to be robust … focused on 2SLS methods revealing the dangers of estimation and thus "traditional" types of inference under weak … identification. We reproduce the original results of Mauro [1995] with a high level of confidence and show that the instrument used …

Persistent link: https://www.econbiz.de/10005800212

Inflation Dynamics of Turkey: A Structural Estimation

Yazgan, M. Ege; Yilmazkuday, Hakan - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 1, pp. 1228-1228

even after controlling for the weak identification problem which has been a serious concern in generalized method of moment …

Persistent link: https://www.econbiz.de/10005246294

The Zero-Information-Limit Condition and Spurious Inference

Startz, Richard; Nelson, Charles R. - Econometric Society - 2004

The fact that weak instruments lead to spurious inference is now widely recognized. In this paper we ask whether spurious inference occurs more generally in weakly identified models. To distinguish between models where spurious inference will occur from those where it does not, we introduce the...

Persistent link: https://www.econbiz.de/10005699647

On dependency in double-hurdle models

Smith, Murray - In: Statistical Papers 44 (2003) 4, pp. 581-595

Persistent link: https://www.econbiz.de/10008533828

Robust Estimation and Inference for Threshold Models with Integrated Regressors

Chen, Haiqiang

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10010892124