GMM with Weak Identification
GMM with Weak Identification
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Author / Creator
Publisher
Oxford, UK and Boston, USA: Blackwell Publishers Ltd
Journal title
Language
English
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Publication information
Publisher
Oxford, UK and Boston, USA: Blackwell Publishers Ltd
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Scope and Contents
Contents
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...
Alternative Titles
Full title
GMM with Weak Identification
Authors, Artists and Contributors
Author / Creator
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Record Identifier
TN_cdi_proquest_journals_203882415
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_203882415
Other Identifiers
ISSN
0012-9682
E-ISSN
1468-0262
DOI
10.1111/1468-0262.00151
