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GMM with Weak Identification and Near Exogenneity

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  • Ying Fang

Abstract

This chapter studies the asymptotic properties of estimation and inference with weak identification and near exogeneity in a GMM framework with instrumental variables. We obtained limiting results under weak identification and near exogeneity of general GMM estimators and some specific GMM estimators, such as one-step GMM estimator, two-step GMM estimator and continuous updating estimator. We also examine the asymptotic properties of the Anderson-Rubin type and the Kleibergen type tests under weak identification and near exogeneity.

Suggested Citation

  • Ying Fang, 2013. "GMM with Weak Identification and Near Exogenneity," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:001989
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