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Finite underidentification

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  • Sentana, Enrique

Abstract

I adapt the Generalised Method of Moments to deal with nonlinear models in which a finite number of isolated parameter values satisfy the moment conditions. I also study the closely related class of first-order underidentified models, whose expected Jacobian is rank deficient but not necessarily zero. In both cases, my proposed procedures exploit the underidentification structure to yield parameter estimators and underidentification tests within a standard asymptotically normal GMM framework. I study nonlinear models with and without separation of data and parameters. I also illustrate my proposed inference procedures with applications to production function estimation and dynamic panel data models.

Suggested Citation

  • Sentana, Enrique, 2024. "Finite underidentification," Journal of Econometrics, Elsevier, vol. 240(1).
    • Handle: RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000381
    DOI: 10.1016/j.jeconom.2024.105692
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    Cited by:

    1. Ackerberg, Daniel A. & Frazer, Garth & Kim, Kyoo il & Luo, Yao & Su, Yingjun, 2023. "Under-identification of structural models based on timing and information set assumptions," Journal of Econometrics, Elsevier, vol. 237(1).
    2. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.

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    More about this item

    Keywords

    Finite set; Generalised Method of Moments; Identification test;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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