Identification- and many moment-robust inference via invariant moment conditions
通过不变矩条件实现识别与多矩条件稳健推断
Identification-robust hypothesis tests are commonly based on the continuous updating GMM objective function. When the number of moment conditions grows proportionally with the sample size, the large-dimensional weighting matrix prohibits the use of conventional asymptotic approximations and the behavior of these tests remains unknown. We show that the structure of the weighting matrix opens up an alternative route to asymptotic results when, under the null hypothesis, the…