WebMehmet Caner, 2010. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 330-363.Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu, 2011. "A Simple Test for Identification in GMM under Conditional Moment Restrictions," Cowles Foundation … WebSep 1, 2014 · Staiger and Stock (1997) are first to study weak identification in the context of a linear IV regression. ... Testing, estimation in GMM and CUE with nearly-weak instruments. Econometrics Rev. (2010) M. Carrasco et al. Generalization of GMM to a continuum of moment conditions. Econometric Theory (2000)

Asymptotic F tests under possibly weak identification

WebIn addition, we focus here on the case dubbed nearly-weak identification where the drifting DGP introduces a limit rank deficiency reached at a rate slower than root-7\ This framework ensures the consistency of Generalized Method of Moments (GMM) estimators of all parameters, but at a rate possibly slower than usual. It also validates the GMM-LM WebCaner (2010) recently show that in the case of nearly-weak GMM, the GMM estimators … minecraft texture pack to edit

Efficient GMM with nearly-weak instruments - jstor.org

WebJul 1, 2009 · In addition, we focus here on the case dubbed nearly-weak identification where the drifting DGP introduces a limit rank deficiency reached at a rate slower than root-T. This framework ensures the consistency of Generalized Method of Moments (GMM) estimators of all parameters, but at a rate possibly slower than usual. WebUsing many moment conditions can improve efficiency but makes the usual generalized … WebEfficient GMM with nearly-weak identification ∗ Bertille Antoine†and Eric Renault‡ April 9, 2007 Abstract: This paper is in the line of the recent literature on weak instruments, which ... minecraft texture pack that highlights ores