GMM Estimation and Uniform Subvector Inference with Possible Identification Failure

84 Pages Posted: 28 Oct 2011

See all articles by Donald W. K. Andrews

Donald W. K. Andrews

Yale University - Cowles Foundation

Xu Cheng

University of Pennsylvania - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: October 28, 2011

Abstract

This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CS's) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The asymptotic sizes (in a uniform sense) of standard GMM tests and CS's are established.

The paper also establishes the correct asymptotic sizes of "robust" GMM-based Wald, t, and quasi-likelihood ratio tests and CS's whose critical values are designed to yield robustness to identification problems.

The results of the paper are applied to a nonlinear regression model with endogeneity and a probit model with endogeneity and possibly weak instrumental variables.

Keywords: Asymptotic size, Confidence set, Generalized method of moments, GMM estimator, Identification, Nonlinear models, Test, Wald test, Weak identification

JEL Classification: C12, C15

Suggested Citation

Andrews, Donald W. K. and Cheng, Xu, GMM Estimation and Uniform Subvector Inference with Possible Identification Failure (October 28, 2011). Cowles Foundation Discussion Paper No. 1828, Available at SSRN: https://ssrn.com/abstract=1950638 or http://dx.doi.org/10.2139/ssrn.1950638

Donald W. K. Andrews (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3698 (Phone)
203-432-6167 (Fax)

Xu Cheng

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States

HOME PAGE: http://www.sas.upenn.edu/~xucheng/

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