Testing Identification Strength

Resource type
Date created
2012
Authors/Contributors
Abstract
We consider models defined by a set of moment restrictions that may be subject to weak identification. Following the recent literature, the identification of the structural parameters is characterized by the Jacobian of the moment conditions. We unify several definitions of identification that have been used in the literature, and show how they are linked to the consistency and asymptotic normality of GMM estimators. We then develop two tests to assess the identification strength of the structural parameters. Both tests are straightforward to apply. In simulations, our tests are well-behaved when compared to contenders, both in terms of size and power.
Document
Copyright statement
Copyright is held by the author(s).
Permissions
You are free to copy, distribute and transmit this work under the following conditions: You must give attribution to the work (but not in any way that suggests that the author endorses you or your use of the work); You may not use this work for commercial purposes.
Scholarly level
Peer reviewed?
No
Language
Member of collection
Attachment Size
dp12-17.pdf 381.59 KB