Testing parameters in GMM without assuming that they are identified
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| Publication date | 2001 |
| Series | Tinbergen Institute Discussion Paper, TI 2001-067/4 |
| Number of pages | 24 |
| Publisher | Amsterdam / Rotterdam: Tinbergen Institute |
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| Abstract |
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. |
| Document type | Working paper |
| Language | English |
| Published at | http://papers.tinbergen.nl/01067.pdf |
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