Inference for Parameters Identified by Conditional Moment Restrictions Using a Generalized Bierens Maximum Statistic
使用广义Bierens最大统计量推断条件矩约束识别的参数
Abstract Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or irrelevant. Building on Bierens (1990), we propose penalized maximum statistics and combine bootstrap inference with model selection. Our method optimizes asymptotic power by…