arXiv 21 Dec 2020 · Econometrics
arXiv:2012.11222 · PDF · Extracted main text
When parameters are weakly identified, bounds on the parameters may provide a valuable source of information. Existing weak identification estimation and inference results are unable to combine weak identification with bounds. Within a class of minimum distance models, this paper proposes identification-robust inference that incorporates information from bounds when parameters are weakly identified. This paper demonstrates the value of the bounds and identification-robust inference in a simple latent factor model and a simple GARCH model. This paper also demonstrates the identification-robust inference in an empirical application, a factor model for parental investments in children.
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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 | Cox, G (2024) Weak identification in low-dimensional factor models with one or two factors self | 1.000 | 15 | 5 | 100% |
| 2 | Stock, J. and Wright, J (2000) GMM with weak identification | 1.000 | 9 | 3 | 100% |
| 3 | Kleibergen, F (2005) Testing parameters in GMM without assuming that they are identified | 1.000 | 6 | 3 | 100% |
| 4 | Han, S. and McCloskey, A (2019) Estimation and inference with a (nearly) singular Jacobian | 1.000 | 5 | 3 | 100% |
| 5 | Andrews, D (1999) Estimation when a parameter is on a boundary | 0.928 | 4 | 3 | 100% |
| 6 | Attanasio, O., Cattan, S., Fitzsimons, E., Meghir, C., and Rubio-Cod… (2020) Estimating the production function for human capital: Results from a randomized controlled trial in Colombia | 0.874 | 7 | 2 | 100% |
| 7 | Andrews, D. and Guggenberger, P (2019) Identification- and singularity-robust inference for moment condition models | 0.874 | 5 | 2 | 100% |
| 8 | Bugni, F., Canay, I., and Shi, X (2017) Inference for subvectors and other functions of partially identified parameters in moment inequality models | 0.811 | 4 | 2 | 100% |
| 9 | Kaido, H., Molinari, F., and Stoye, J (2019) Confidence intervals for projections of partially identified parameters | 0.811 | 4 | 2 | 100% |
| 10 | Andrews, D (2001) Testing when a parameter is on the boundary of the maintained hypothesis | 0.737 | 3 | 2 | 100% |
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