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Identification- and singularity-robust inference for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative Economics 10 (2019) 4, pp. 1703-1746
This paper introduces a new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute. The...
Persistent link: https://www.econbiz.de/10012215408
Cover Image
Identification‐ and singularity‐robust inference for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746
This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment condition models. Both tests are very fast to...
Persistent link: https://www.econbiz.de/10012202897