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Underidentification?

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Listed:
  • Manuel Arellano

    (CEMFI)

  • Lars P. Hansen

    (University of Chicago)

  • Enrique Sentana

    (CEMFI)

Abstract

We study the identification of an econometric model that is linear in parameters from a generalized-method-of-moments perspective. We regard underidentification as a set of over- identifying restrictions imposed on an augmented structural model. Therefore, our proposal is to test for underidentification by testing for overidentification in the augmented model using standard methods that are available in the literature. As examples we consider intertemporal asset pricing and dynamic panel data models.

Suggested Citation

  • Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.
    • Handle: RePEc:ecm:wc2000:1824
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    Cited by:

    1. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    2. Bingley, P. & Eriksson, T, 2001. "Pay Spread and Skewness. Employee Effort and Firm Productivity," Papers 01-2, Aarhus School of Business - Department of Economics.
    3. M. Dolores Collado & Martin Browning, 2007. "Habits and heterogeneity in demands: a panel data analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 625-640.
    4. Mette Lunde Christensen, 2002. "Heterogeneity in consumer demands and the income effect: evidence from panel data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C4-1, International Conferences on Panel Data.
    5. Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
    6. Pierlauro Lopez, 2018. "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 29, pages 85-105, July.
    7. Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
    8. Markus Fritsch & Andrew Adrian Pua & Joachim Schnurbus, 2019. "Revisiting Evidence on Habits and Heterogeneity in Demands," Working Papers 2019-07-09, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    9. Jason G. Cummins & Kevin A. Hassett & Stephen D. Oliner, 2006. "Investment Behavior, Observable Expectations, and Internal Funds," American Economic Review, American Economic Association, vol. 96(3), pages 796-810, June.
    10. Fritsch, Markus & Pua, Andrew Adrian Yu & Schnurbus, Joachim, 2019. "Revisiting habits and heterogeneity in demands," Passauer Diskussionspapiere, Volkswirtschaftliche Reihe V-78-19, University of Passau, Faculty of Business and Economics.
    11. Lynda Khalaf & Maral Kichian, 2003. "Testing the Stability of the Canadian Phillips Curve Using Exact Methods," Staff Working Papers 03-7, Bank of Canada.

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