arXiv 30 Jul 2019 · Econometrics
arXiv:1907.13093 · PDF · Extracted main text
This paper develops an approach to detect identification failure in moment condition models. This is achieved by introducing a quasi-Jacobian matrix computed as the slope of a linear approximation of the moments on an estimate of the identified set. It is asymptotically singular when local and/or global identification fails, and equivalent to the usual Jacobian matrix which has full rank when the model is point and locally identified. Building on this property, a simple test with chi-squared critical values is introduced to conduct subvector inferences allowing for strong, semi-strong, and weak identification without a priori knowledge about the underlying identification structure. Monte-Carlo simulations and an empirical application to the Long-Run Risks model illustrate the results.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Andrews, D. W. and X. Cheng (2012) Estimation and Inference With Weak, Semi-Strong, and Strong Identification | 0.909 | 12 | 4 | 75% |
| 2 | Wright, J. H (2003) Detecting Lack of Identification in GMM | 0.874 | 5 | 2 | 100% |
| 3 | Bansal, R. and A. Yaron (2004) Risks for the long run: A potential resolution of asset pricing puzzles | 0.811 | 4 | 2 | 100% |
| 4 | Antoine, B. and E. Renault (2009) Efficient GMM with nearly-weak instruments | 0.737 | 3 | 2 | 100% |
| 5 | Cox, G (2020) Weak Identification in a Class of Generically Identified Models with an Application to Factor Models | 0.737 | 3 | 2 | 100% |
| 6 | Stock, J. H. and J. H. Wright (2000) GMM with Weak Identification | 0.737 | 3 | 2 | 100% |
| 7 | Andrews, D. W (2017) Identification-robust subvector inference | 0.737 | 3 | 2 | 100% |
| 8 | Grammig, J. and E.-M. Küchlin (2018) A two-step indirect inference approach to estimate the long-run risk asset pricing model | 0.644 | 4 | 1 | 100% |
| 9 | Anderson, T. W. and H. Rubin (1949) Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations | 0.644 | 3 | 2 | 67% |
| 10 | Hansen, L. P. and K. J. Singleton (1982) Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 65 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Choosing What to Calibrate and What to Estimate in Structural Models | 0.737 | 3 | 2 |
| 2 | A Scrambled Method of Moments | 0.405 | 1 | 1 |
| 3 | Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models | 0.405 | 1 | 1 |
| 4 | Global identification of dynamic panel models with interactive effects | 0.405 | 1 | 1 |