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A weak instrument F-test in linear IV models with multiple endogenous variables

Sanderson, Eleanor; Windmeijer, Frank - 2013

We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...

Persistent link: https://www.econbiz.de/10010200387

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Penaranda, Francisco - 2011

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...

Persistent link: https://www.econbiz.de/10013120500

Asymptotic F Test in a GMM Framework with Cross Sectional Dependence

Sun, Yixiao - 2012

The paper develops an asymptotically valid F test that is robust to spatial autocorrelation in a GMM framework. The test is based on the class of series covariance matrix estimators and fixed-smoothing asymptotics. The fixed-smoothing asymptotics and F approximation are established under mild...

Persistent link: https://www.econbiz.de/10013103986

Select the Valid and Relevant Moments : An Information-Based LASSO for GMM with Many Moments

Cheng, Xu - 2013

This paper studies the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis accommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

Persistent link: https://www.econbiz.de/10013074163

Optimal Inference in Dynamic Models with Conditional Moment Restrictions

Christensen, Bent Jesper - 2008

By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional … Newey's. Specification and hypothesis testing in our framework are introduced. We derive the theory of optimal instruments … and the associated asymptotic distribution theory for general cases including non-martingale estimating functions and …

Persistent link: https://www.econbiz.de/10012723172

Testing for Optimal Monetary Policy via Moment Inequalities

Coroneo, Laura - 2018

The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime, commonly commitment or discretion. In this paper, we propose a new procedure for testing optimal monetary policy, relying on moment inequalities that nest commitment and discretion...

Persistent link: https://www.econbiz.de/10012940438

Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood

Otsu, Taisuke - 2008

We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

Persistent link: https://www.econbiz.de/10012771848

DSGE Models, Detrending, and the Method of Moments

Mao Takongmo, Charles Olivier - 2020

One important question in the DSGE literature is whether we should detrend data when estimating the parameters of a DSGE model using the moment method. It has been common in the literature to detrend data in the same way the model is detrended. Doing so works relatively well with linear models,...

Persistent link: https://www.econbiz.de/10012850331

Testing for a Threshold in Models with Endogenous Regressors

Rothfelder, Mario - 2019

We propose two new parametric tests for an unknown threshold in models with endogenous regressors. They are both based on unconventional 2SLS estimators that use additional information about the linearity of the first stage. This information leads to more accurate residuals and therefore tests...

Persistent link: https://www.econbiz.de/10012860181

Sieve Semiparametric Two-Step GMM Under Weak Dependence

Chen, Xiaohong - 2015

This paper considers semiparametric two-step GMM estimation and inference with weakly dependent data, where unknown nuisance functions are estimated via sieve extremum estimation in the first step. We show that although the asymptotic variance of the second-step GMM estimator may not have a...

Persistent link: https://www.econbiz.de/10013019447