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二阶识别模型中的推断AI 解读

We explore the local power properties of different test statistics for conducting inference in moment condition models that only identify the parameters locally to second order. We consider the conventional Wald and LM statistics, and also the Generalized Anderson–Rubin (GAR) statistic (Anderson and Rubin, 1949; Dufour, 1997; Staiger and Stock, 1997; Stock and Wright, 2000), KLM statistic (Kleibergen, 2002; Kleibergen, 2005) and the GMM extension of Moreira (2003) (GMM-M)…

二阶识别下 GMM 与间接推断的渐近性质AI 解读

This paper presents a limiting distribution theory for GMM and Indirect Inference estimators when local identification conditions fail at first-order but hold at second-order. These limit distributions are shown to be non-standard, but we show that they can be easily simulated, making it possible to perform inference about the parameters in this setting. We illustrate our results in the context of a dynamic panel data model in which the parameter of interest is identified…