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Efficient Inference with Time-Varying Identification Strength

Antoine, Bertille; Boldea, Otilia - Department of Economics, Simon Fraser University - 2014

In the last two decades, there has been a lot of empirical evidence suggesting that many macroeconometric and financial models (e.g. for inflation, interest rates, or exchange rates) are subject to both parameter instability and identification problems. In this paper, we address both issues in a...

Persistent link: https://www.econbiz.de/10010818165

Testing Identification Strength

Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2012

consistency and asymptotic normality of GMM estimators. We then develop two tests to assess the identification strength of the …

Persistent link: https://www.econbiz.de/10010818168

On the relevance of weaker instruments

Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2014

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 available. We show that the consistency of the GMM estimator is not … the efficiency of GMM estimator. Finally, we study the behavior of the Hansen J-test to assess the compatibility between …

Persistent link: https://www.econbiz.de/10010818177

Efficient minimum distance estimation with multiple rates of convergence

Antoine, Bertille; Renault, Eric - In: Journal of Econometrics 170 (2012) 2, pp. 350-367

This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to …

Persistent link: https://www.econbiz.de/10010594970

Efficient Inference with Poor Instruments: a General Framework

Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2012

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...

Persistent link: https://www.econbiz.de/10010538860

Efficient Minimum Distance Estimation with Multiple Rates of Convergence

Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2012

This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to …

Persistent link: https://www.econbiz.de/10010538864

On the relevance of weaker instruments

Antoine, Bertille; Renault, Eric - In: Econometric reviews 36 (2017) 6/9, pp. 928-945

Persistent link: https://www.econbiz.de/10011795536

Efficient estimation with time-varying information and the New Keynesian Phillips Curve

Antoine, Bertille; Boldea, Otilia - In: Journal of econometrics 204 (2018) 2, pp. 268-300

Persistent link: https://www.econbiz.de/10011974733

Testing identification strength

Antoine, Bertille; Renault, Eric - In: Journal of econometrics 218 (2020) 2, pp. 271-293

Persistent link: https://www.econbiz.de/10012483002