This paper proposes a test for common GARCH factors in asset returns. Following Engle and Kozicki (1993), the common GARCH factors property is expressed in terms of testable overidentifying moment restrictions. However, as we show, these moment conditions have a degenerate Jacobian matrix at the...

We consider models defined by a set of moment restrictions that may be subject to weak identification. Following the recent literature, the identification of the structural parameters is characterized by the Jacobian of the moment conditions. We unify several definitions of identification that...

We consider models defined by a set of moment restrictions that may be subject to weak identification. More specifically, we study the asymptotic properties of the standard GMM estimator and the Hansen J-test when additional moment restrictions that are weaker than the original ones are...

This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to converge at (multiple) rates, different from the usual square-root of the sample size. In this setting, we provide consistent estimation of the structural parameters. In...

We consider a general framework where weaker patterns of identifcation may arise: typically, the data generating process is allowed to depend on the sample size. However, contrary to what is usually done in the literature on weak identification, we do not give up the efficiency goal of...

This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to converge at (multiple) rates, different from the usual square-root of the sample size. In this setting, we provide consistent estimation of the structural parameters. In...

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...