A simple test for identification in GMM under conditional moment restrictions

Francesco Bravo; Juan Carlos Escanciano; Taisuke Otsu

doi:10.1108/S0731-9053(2012)0000029020

A simple test for identification in GMM under conditional moment restrictions

Francesco Bravo, Juan Carlos Escanciano, Taisuke Otsu

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

3 Citations (Scopus)

Abstract

This chapter proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is a Hausman-type test based on the Hausdorff distance between an estimator that is consistent even under global identification failure of the unconditional moment restrictions, and an estimator of the identified set of the unconditional moment restrictions. The proposed test has a χ² limiting distribution and is also able to detect weak identification. Some Monte Carlo experiments show that the proposed test has competitive finite sample properties already for moderate sample sizes.

Original language	English
Title of host publication	Essays in Honor of Jerry Hausman
Editors	Badi Baltagi, Carter Hill, Whitney Newey, Halbert White
Pages	455-477
Number of pages	23
DOIs	https://doi.org/10.1108/S0731-9053(2012)0000029020
Publication status	Published - 2012
Externally published	Yes

Publication series

Name	Advances in Econometrics
Volume	29
ISSN (Print)	0731-9053

Keywords

Asset pricing
Conditional moment restrictions
Generalized method of moments
Global identification
Hausman test

ASJC Scopus subject areas

Economics and Econometrics

Access to Document

10.1108/S0731-9053(2012)0000029020

Cite this

A simple test for identification in GMM under conditional moment restrictions. / Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke.
Essays in Honor of Jerry Hausman. ed. / Badi Baltagi; Carter Hill; Whitney Newey; Halbert White. 2012. p. 455-477 17072664 (Advances in Econometrics; Vol. 29).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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AB - This chapter proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is a Hausman-type test based on the Hausdorff distance between an estimator that is consistent even under global identification failure of the unconditional moment restrictions, and an estimator of the identified set of the unconditional moment restrictions. The proposed test has a χ2 limiting distribution and is also able to detect weak identification. Some Monte Carlo experiments show that the proposed test has competitive finite sample properties already for moderate sample sizes.

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A simple test for identification in GMM under conditional moment restrictions

Abstract

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Keywords

ASJC Scopus subject areas

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