Joan Alegre, Juan Carlos Escanciano
arXiv 9 Oct 2023 · Econometrics
arXiv:2310.05761 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes minimum distance inference for a structural parameter of interest, which is robust to the lack of identification of other structural nuisance parameters. Some choices of the weighting matrix lead to asymptotic chi-squared distributions with degrees of freedom that can be consistently estimated from the data, even under partial identification. In any case, knowledge of the level of under-identification is not required. We study the power of our robust test. Several examples show the wide applicability of the procedure and a Monte Carlo investigates its finite sample performance. Our identification-robust inference method can be applied to make inferences on both calibrated (fixed) parameters and any other structural parameter of interest. We illustrate the method's usefulness by applying it to a structural model on the non-neutrality of monetary policy, as in \cite{nakamura2018high}, where we empirically evaluate the validity of the calibrated parameters and we carry out robust inference on the slope of the Phillips curve and the information effect.
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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 | Nakamura, Emi and Jón Steinsson (2018) High-frequency identification of monetary non-neutrality: the information effect | 1.000 | 15 | 4 | 100% |
| 2 | Pesendorfer, Martin and Philipp Schmidt-Dengler (2008) Asymptotic least squares estimators for dynamic games | 1.000 | 7 | 3 | 100% |
| 3 | Dufour, Jean-Marie and Pascale Valéry (2016) Rank-robust Wald-type tests: a regularization approach, Tech | 0.737 | 3 | 2 | 100% |
| 4 | Stewart, GW (1969) On the continuity of the generalized inverse | 0.737 | 3 | 2 | 100% |
| 5 | Robin, Jean-Marc and Richard J Smith (2000) Tests of rank | 0.644 | 3 | 2 | 67% |
| 6 | Amato, Jeffery D and Thomas Laubach (2003) Estimation and control of an optimization-based model with sticky prices and wages | 0.644 | 2 | 2 | 100% |
| 7 | Christiano, Lawrence J, Martin Eichenbaum, and Charles L Evans (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy | 0.644 | 2 | 2 | 100% |
| 8 | Kleibergen, Frank (2005) Testing parameters in GMM without assuming that they are identified | 0.644 | 2 | 2 | 100% |
| 9 | Lee, Adam (2022) Robust and efficient inference for non-regular semiparametric models, Tech | 0.644 | 2 | 2 | 100% |
| 10 | McFadden, Daniel (1989) A method of simulated moments for estimation of discrete response models without numerical integration | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 54 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 | 0.644 | 2 | 2 |