The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
GMM with Weak Identification
Abstract
This paper develops asymptotic distribution theory for GMM estimators and test statistics when some or all of the parameters are weakly identified. General results are obtained and are specialized to two important cases: linear instrumental variables regression and Euler equations estimation of the CCAPM. Numerical results for the CCAPM demonstrate that weak-identification asymptotics explains the breakdown of conventional GMM procedures documented in previous Monte Carlo studies. Confidence sets immune to weak identification are proposed. We use these results to inform an empirical investigation of various CCAPM specifications; the substantive conclusions reached differ from those obtained using conventional methods.
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Citations
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Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302
Self-citation
Cited by
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The fallacy of placing confidence in confidence intervals
Morey, R. D., Hoekstra, R., Rouder, J. N., Lee, M. D., & Wagenmakers, E.-J. (2016) · Psychonomic Bulletin & Review · doi:10.3758/s13423-015-0947-8 · Cited by 577
“This interval was suggested by Steiger (2004, see also Steiger & Fouladi, 1997), cited approvingly by Cumming (2014), implemented in software for social scientists (e.g., Kelley, 2007a, b), and evaluated, solely for its frequentist properties, by Finch and French (2012).”
BackgroundInfluentialThe weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, M. J. G., & Windmeijer, F. (2010) · The Econometrics Journal · doi:10.1111/j.1368-423x.2009.00299.x · Cited by 498
Lim, M. K., Tseng, M.-L., Tan, K. H., & Bui, T. D. (2017) · Journal of Cleaner Production · doi:10.1016/j.jclepro.2017.06.056 · Cited by 292
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Metadata
- Authors
- Stock, J. H., & Wright, J. H.
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 2000-09
- Volume
- 68
- Issue
- 5
- Pages
- 1055-1096
- ISSN
- 0012-9682 (ISSN-L)
- 1468-0262
- OpenAlex
- W2158179451
- Cited by
- 812
- References
- 1
- FWCI
- 10.50
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
