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Identification theory for high dimensional static and dynamic factor models

Bai, Jushan; Wang, Peng - In: Journal of Econometrics 178 (2014) 2, pp. 794-804

High dimensional factor models can involve thousands of parameters. The Jacobian matrix for identification is of a … the identification problem to a small rank problem, which is easy to check. The identification conditions allow both … are shown to be necessary and sufficient for local identification. …

Persistent link: https://www.econbiz.de/10010730125

On the observational implications of taste-based discrimination in racial profiling

Brock, William A.; Cooley, Jane; Durlauf, Steven N.; … - In: Journal of Econometrics 166 (2012) 1, pp. 66-78

This paper contributes to a growing literature that attempts to determine whether disparities in police stops and searches of potential criminals of different races stem from taste-based discrimination. The key challenge in making this evaluation is that police officers have more information...

Persistent link: https://www.econbiz.de/10010597566

Identification and estimation of Gaussian affine term structure models

Hamilton, James D.; Wu, Jing Cynthia - In: Journal of Econometrics 168 (2012) 2, pp. 315-331

This paper develops new results for identification and estimation of Gaussian affine term structure models. We …

Persistent link: https://www.econbiz.de/10010574096

Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

Fanelli, Luca - In: Journal of Econometrics 170 (2012) 1, pp. 153-163

This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model may have a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). The testing problem is addressed by a...

Persistent link: https://www.econbiz.de/10011052239

Maximum likelihood estimation and uniform inference with sporadic identification failure

Andrews, Donald W.K.; Cheng, Xu - In: Journal of Econometrics 173 (2013) 1, pp. 36-56

This paper analyzes the properties of a class of estimators, tests, and confidence sets (CSs) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter θ. This...

Persistent link: https://www.econbiz.de/10011052306

Nonparametric identification in nonseparable panel data models with generalized fixed effects

Hoderlein, Stefan; White, Halbert - In: Journal of Econometrics 168 (2012) 2, pp. 300-314

identification principle can be applied to well-known objects like the slope coefficient in the semiparametric panel data binary …

Persistent link: https://www.econbiz.de/10011052311

Tests for overidentifying restrictions in Factor-Augmented VAR models

Han, Xu - In: Journal of Econometrics 184 (2015) 2, pp. 394-419

. The identification of structural shocks in FAVAR can involve infinitely many restrictions as the number of cross sections …

Persistent link: https://www.econbiz.de/10011117422

Conditional moment models under semi-strong identification

Antoine, Bertille; Lavergne, Pascal - In: Journal of Econometrics 182 (2014) 1, pp. 59-69

We consider conditional moment models under semi-strong identification. Identification strength is directly defined …, asymptotically normal, robust to semi-strong identification, and does not rely on the choice of a user-chosen parameter, such as the … without prior knowledge of the identification pattern. Simulations show that our estimator is competitive with alternative …

Persistent link: https://www.econbiz.de/10010785287