Frank Kleibergen, Zhaoguo Zhan
arXiv 18 May 2021 · Econometrics · publishedQuantitative Economics (2025) · 4 citations (OpenAlex)
arXiv:2105.08345 · PDF · DOI · OpenAlex · Extracted main text
We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the pseudo-true value of the structural parameters in the generalized method of moments. The pseudo-true value is defined as the minimizer of the population continuous updating objective function and equals the true value of the structural parameter in the absence of misspecification.\nocite{hhy96} The (bounding) chi-squared limiting distribution of the DRLM statistic is robust to both misspecification and weak identification of the structural parameters, hence its name. To emphasize its importance for applied work, we use the DRLM test to analyze the return on education, which is often perceived to be weakly identified, using data from Card (1995) where misspecification occurs in case of treatment heterogeneity; and to analyze the risk premia associated with risk factors proposed in Adrian et al. (2014) and He et al. (2017), where both misspecification and weak identification need to be addressed.
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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 | Kleibergen, F (2005) Testing Parameters in GMM without assuming that they are identified self | 1.000 | 5 | 3 | 100% |
| 2 | Hansen, L.P., J. Heaton and A. Yaron (1996) Finite Sample Properties of Some Alternative GMM Estimators | 0.928 | 4 | 4 | 100% |
| 3 | Stock, J.H. and J.H. Wright (2000) GMM with Weak Identification | 0.928 | 4 | 4 | 100% |
| 4 | Andrews, I (2016) Conditional Linear Combination Tests for Weakly Identified Models | 0.928 | 4 | 3 | 100% |
| 5 | Gospodinov, N., R. Kan and C. Robotti (2017) Spurious inference in Reduced-Rank Regresson Models | 0.928 | 4 | 3 | 100% |
| 6 | Kleibergen, F (2009) Tests of Risk Premia in Linear Factor Models self | 0.928 | 4 | 3 | 100% |
| 7 | Andrews, I. and A. Mikusheva (2016) Conditional inference with a functional nuisance parameter | 0.843 | 3 | 3 | 100% |
| 8 | Kleibergen, F. and R. Paap (2006) Generalized Reduced Rank Tests using the Singular Value Decomposition self | 0.843 | 3 | 3 | 100% |
| 9 | Kleibergen, F. and Z. Zhan (2020) Robust Inference for Consumption-Based Asset Pricing self | 0.843 | 3 | 3 | 100% |
| 10 | Moreira, M.J (2003) A Conditional Likelihood Ratio Test for Structural Models | 0.843 | 3 | 3 | 100% |
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.