arXiv 1 Nov 2022 · Econometrics · publishedThe Review of Economics and Statistics (2024) · 4 citations (OpenAlex)
arXiv:2211.00329 · PDF · DOI · OpenAlex · Extracted main text
This paper describes how to reparameterize low-dimensional factor models with one or two factors to fit weak identification theory developed for generalized method of moments models. Some identification-robust tests, here called "plug-in" tests, require a reparameterization to distinguish weakly identified parameters from strongly identified parameters. The reparameterizations in this paper make plug-in tests available for subvector hypotheses in low-dimensional factor models with one or two factors. Simulations show that the plug-in tests are less conservative than identification-robust tests that use the original parameterization. An empirical application to a factor model of parental investments in children is included.
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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 | 1.000 | 8 | 4 | 100% |
| 2 | Cox, G (2022) Weak identification with bounds in a class of minimum distance models self | 1.000 | 7 | 4 | 100% |
| 3 | Stock, J. and Wright, J (2000) GMM with weak identification | 1.000 | 6 | 4 | 100% |
| 4 | Anderson, T. and Rubin, H (1956) Statistical inference in factor analysis | 1.000 | 6 | 3 | 100% |
| 5 | 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 | 9 | 2 | 100% |
| 6 | Han, S. and McCloskey, A (2019) Estimation and inference with a (nearly) singular Jacobian | 0.874 | 6 | 2 | 100% |
| 7 | Chaudhuri, S. and Zivot, E (2011) A new method of projection-based inference in GMM with weakly identified nuisance parameters | 0.843 | 3 | 3 | 100% |
| 8 | Andrews, I. and Mikusheva, A (2016) A geometric approach to nonlinear econometric models | 0.811 | 4 | 2 | 100% |
| 9 | Andrews, I (2018) Valid two-step identification-robust confidence sets for GMM | 0.811 | 4 | 2 | 100% |
| 10 | Andrews, D (2017) Identification-robust subvector inference | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 43 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Weak Identification with Bounds in a Class of Minimum Distance Models | 1.000 | 15 | 5 |
| 2 | Robust Estimation and Inference in Panels with Interactive Fixed Effects | 0.644 | 4 | 1 |