Detecting lack of identification in GMM

被引：43

作者：

Wright, JH ^{[1
]}

机构：

[1] Fed Reserve Board, Washington, DC 20551 USA

来源：

ECONOMETRIC THEORY | 2003年 / 19卷 / 02期

关键词：

D O I：

10.1017/S0266466603192055

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a test of the null of underidentification in the nonlinear-in-parameters generalized method of moments model. It can be thought of as a nonlinear analog of the usual linear instrumental variables first-stage F-test. It can be used as a diagnostic to warn a researcher when conventional asymptotic theory is unlikely to work well.

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页码：322 / 330

页数：9

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