- Testing parameters in GMM without assuming that they are identified
- Number of pages
- Amsterdam / Rotterdam: Tinbergen Institute
- Tinbergen Institute Discussion Paper
- Volume | Edition (Serie)
- TI 2001-067/4
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the K statistic, that uses a Jacobian
estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments.
Its asymptotic (...)
This discussion paper has resulted in a publication in Econometrica, 2005, 73(4), 1103-23.
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