Search Results - subject:"weak identiﬁcation"

Impossible inference in econometrics : theory and applications

Bertanha, Marinho; Moreira, Marcelo J. - In: Journal of econometrics 218 (2020) 2, pp. 247-270

Persistent link: https://www.econbiz.de/10012483000

Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory

Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: Journal of econometrics 218 (2020) 2, pp. 390-418

Persistent link: https://www.econbiz.de/10012483007

Generic results for establishing the asymptotic size of confidence sets and tests

Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik - In: Journal of econometrics 218 (2020) 2, pp. 496-531

Persistent link: https://www.econbiz.de/10012483169

Inference of local regression in the presence of nuisance parameters

Xu, Ke-Li - In: Journal of econometrics 218 (2020) 2, pp. 532-560

Persistent link: https://www.econbiz.de/10012483170

Identification strength with a large number of moments

Han, Hyojin; Renault, Eric - In: Econometric reviews 39 (2020) 7, pp. 691-714

Persistent link: https://www.econbiz.de/10012262515

New Keynesian Phillips Curve Estimation: The Case of Hungary (1981–2006)

Vasilev, Aleksandar - In: Managing Global Transitions 13 (2015) 4, pp. 355-367

significant and quantitatively important in the nkpc.However, there are some econometric issues to be considered, such as the weak … identification of the parameters of the structural NKPC as well as those of the hybrid NKPC. …

Persistent link: https://www.econbiz.de/10011484208

New Keynesian Phillips Curve Estimation: The Case of Hungary /1981-2006/

Vasilev, Aleksandar - 2015

, there are some econometric issues to be considered, such as the weak identification of the parameters of the structural NKPC …

Persistent link: https://www.econbiz.de/10011495882

Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models

Andrews, Isaiah; Mikusheva, Anna - In: Quantitative Economics 6 (2015) 1, pp. 123-152

This paper examines the issue of weak identification in maximum likelihood, motivated by problems with estimation and … (Lagrange multiplier) test for a simple hypothesis concerning the full parameter vector are robust to weak identification. We …

Persistent link: https://www.econbiz.de/10011599673

Identification- and Singularity-Robust Inference for Moment Condition

Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2015

This paper introduces two new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) tests and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. The paper shows that the tests have...

Persistent link: https://www.econbiz.de/10011107241

New Keynesian Phillips Curve estimation : the case of Hungary /1981-2006/

Vasilev, Aleksandar - 2015

, there are some econometric issues to be considered, such as the weak identification of the parameters of the structural NKPC …

Persistent link: https://www.econbiz.de/10011500305