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Testing Parameters in GMM without assuming that they are identified

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Author Info
Frank Kleibergen () (University of Amsterdam)

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Abstract

This discussion paper has resulted in a publication in Econometrica, 2005, 73(4), 1103-23.

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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-067/4.

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Date of creation: 11 Jul 2001
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Handle: RePEc:dgr:uvatin:20010067

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Web page: http://www.tinbergen.nl/

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Related research
Keywords: Weak instruments; Size distortions; Covariance matrix estimators; stochastic discount factors;

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This paper has been announced in the following NEP Reports: Cited by:
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  1. Eric Zivot & Saraswata Chaudhuri, 2008. "A Comment on Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve," Working Papers UWEC-2008-23, University of Washington, Department of Economics. [Downloadable!]
  2. Leandro M. Magnusson, 2008. "Tests in Censored Models when the Structural Parameters Are Not Identified," Working Papers 0802, Tulane University, Department of Economics. [Downloadable!]
  3. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  4. Vasco Gabriel & Paul Levine & Christopher Spencer & Bo Yang, 2008. "On the (ir)relevance of direct supply-side effects of monetary policy," Department of Economics Discussion Papers 0408, Department of Economics, University of Surrey. [Downloadable!]
  5. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Papers 212, University of Pittsburgh, Department of Economics, revised Jan 2006. [Downloadable!]
    Other versions:
  6. Yukitoshi Matsushita, 2007. "t-Tests in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-467, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  7. Patrik Buggenberger & Richard Smith, 2003. "Generalized empirical likelihood estimators and tests under partial, weak and strong identification," CeMMAP working papers CWP08/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  8. Saraswata Chaudhuri & Eric Zivot, 2008. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers UWEC-2008-26, University of Washington, Department of Economics. [Downloadable!]
  9. Rolf Scheufele, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10-08, Halle Institute for Economic Research. [Downloadable!]
  10. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  11. Maurice Bun & Frank Windmeijer, 2007. "The weak instrument problem of the system GMM estimator in dynamic panel data models," CeMMAP working papers CWP08/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  12. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics. [Downloadable!]
  13. Pål Boug, Ådne Cappelen and Anders Rygh Swensen, 2007. "The New Keynesian Phillips Curve revisited," Discussion Papers 500, Research Department of Statistics Norway. [Downloadable!]
  14. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers 21/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  15. Mehmet Caner, 2005. "Exponential Tilting With Weak Instruments," Working Papers 208, University of Pittsburgh, Department of Economics, revised Jan 2005. [Downloadable!]
  16. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," Department of Economics Discussion Papers 0206, Department of Economics, University of Surrey. [Downloadable!]
  17. Mehmet Caner, 2005. "Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases," Econometrics 0509016, EconWPA. [Downloadable!]
    Other versions:
  18. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers 168, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
  19. Mehmet Caner, 2005. "Higher Order Expansions in GMM with Nearly Weak and Many Nearly Weak Instruments," Working Papers 209, University of Pittsburgh, Department of Economics, revised Jan 2005. [Downloadable!]
  20. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. [Downloadable!]
  21. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  22. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers 0801, Tulane University, Department of Economics, revised Apr 2009. [Downloadable!]
  23. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551. [Downloadable!]
    Other versions:
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