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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
This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to converge at (multiple) rates, different from the usual square-root of the sample size. In this setting, we provide consistent estimation of the structural parameters. In...
Persistent link: https://www.econbiz.de/10010538864
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
We consider models defined by a set of moment restrictions that may be subject to weak identification. Following the recent literature, the identification of the structural parameters is characterized by the Jacobian of the moment conditions. We unify several definitions of identification that...
Persistent link: https://www.econbiz.de/10010818168
We consider models defined by a set of moment restrictions that may be subject to weak identification. More 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...
Persistent link: https://www.econbiz.de/10010818177