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Identification strength with a large number of moments
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Han, Hyojin and Renault, Eric (2020) Identification strength with a large number of moments. Econometric Reviews, 39 (7). 691-714 . doi:10.1080/07474938.2020.1771903 ISSN 0747-4938.
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Official URL: https://doi.org/10.1080/07474938.2020.1771903
Abstract
This paper studies how identification is affected in GMM estimation as the number of moment conditions increases. We develop a general asymptotic theory extending the set up of Chao and Swanson and Antoine and Renault to the case where moment conditions have heterogeneous identification strengths and the number of them may diverge to infinity with the sample size. We also allow the models to be locally misspecified and examine how the asymptotic theory is affected by the degree of misspecification. The theory encompasses many cases including GMM models with many moments (Han and Phillips), partially linear models, and local GMM via kernel smoothing with a large number of conditional moment restrictions. We provide an understanding of the benefits of a large number of moments that compensate the weakness of individual moments by explicitly showing how an increasing number of moments improves the rate of convergence in GMM.
Item Type: | Journal Article | ||||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||||
Divisions: | Faculty of Social Sciences > Economics | ||||||
Library of Congress Subject Headings (LCSH): | Moments method (Statistics), Econometric models, Time-series analysis, Econometrics -- Asymptotic theory | ||||||
Journal or Publication Title: | Econometric Reviews | ||||||
Publisher: | Taylor & Francis Inc. | ||||||
ISSN: | 0747-4938 | ||||||
Official Date: | 3 July 2020 | ||||||
Dates: |
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Volume: | 39 | ||||||
Number: | 7 | ||||||
Page Range: | 691-714 | ||||||
DOI: | 10.1080/07474938.2020.1771903 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Reuse Statement (publisher, data, author rights): | โThis is an Accepted Manuscript of an article published by Taylor & Francis in Econometric Reviews on 03/07/2020, available online: http://www.tandfonline.com/10.1080/07474938.2020.1771903 | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 14 April 2020 | ||||||
Date of first compliant Open Access: | 3 July 2021 | ||||||
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