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Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments

Hsu, Shih-hsun; Kuan, Chung-ming - In: Journal of econometrics 165 (2011) 1, pp. 87-99

Persistent link: https://www.econbiz.de/10009374484

Testing over : identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-ming; Kuan, Chung-ming; Hsu, Yu-Chin - 2014

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Robust hypothesis tests for m-estimators with possibly non-differentiable estimating functions

Lee, Wei-ming; Hsu, Yu-Chin; Kuan, Chung-ming - 2014

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Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-ming; Hsu, Yu-Chin - In: Journal of econometrics 181 (2014) 2, pp. 181-193

Persistent link: https://www.econbiz.de/10010473309

Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions

Lee, Wei-Ming; Hsu, Yu-Chin; Kuan, Chung-ming - In: The econometrics journal 18 (2015) 1, pp. 95-116

Persistent link: https://www.econbiz.de/10011345990

Estimation of Conditional Moment Restrictions Without Assuming Parameter Identifiability in the Implied Unconditional Moments

Hsu, Shih-hsun - 2010

A well known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter...

Persistent link: https://www.econbiz.de/10013147626