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GMM with nearly-weak identification
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Bertille, Antoine and Renault, Eric (2021) GMM with nearly-weak identification. Econometrics and Statistics . doi:10.1016/j.ecosta.2021.10.010 (In Press)
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WRAP-GMM-nearly-weak-identification-2021.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only until 11 November 2022. Contact author directly, specifying your specific needs. - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (751Kb) |
Official URL: https://doi.org/10.1016/j.ecosta.2021.10.010
Abstract
A unified framework for the asymptotic distributional theory of GMM with nearly-weak instruments is provided. It generalizes a previously proposed framework in two main directions: first, by allowing instruments’ weakness to be less severe in the sense that some GMM estimators remain consistent, while featuring low precision; and second, by relaxing the so-called ”separability assumption” and considering generalized versions of local-to-zero asymptotics without partitioning a priori the vector of parameters in two subvectors converging at different rates. It is shown how to define directions in the parameter space whose estimators come with different rates of convergence characterized by the Moore-Penrose inverse of the Jacobian matrix of the moments. Furthermore, regularity conditions are provided to ensure standard asymptotic inference for these estimated directions.
| Item Type: | Journal Article | ||||||||
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| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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| Divisions: | Faculty of Social Sciences > Economics | ||||||||
| Library of Congress Subject Headings (LCSH): | Moments method (Statistics), Asymptotic distribution (Probability theory), Estimation theory | ||||||||
| Journal or Publication Title: | Econometrics and Statistics | ||||||||
| Publisher: | Elsevier | ||||||||
| ISSN: | 2452-3062 | ||||||||
| Official Date: | 2021 | ||||||||
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| DOI: | 10.1016/j.ecosta.2021.10.010 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | In Press | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| RIOXX Funder/Project Grant: |
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