Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2001-07-11
Number: 01-067/4
Author-Name: Frank Kleibergen
Author-Workplace-Name: University of Amsterdam, the Netherlands
Title: Testing Parameters in GMM without Assuming that they are identified
Abstract: We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the <I>K</I> statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic (...)<P>This discussion paper has resulted in a publication in <A href="https://www.jstor.org/stable/3598816"><I>Econometrica</I></A>, 2005, 73(4), 1103-23.
Keywords: Weak instruments; Size distortions; Covariance matrix estimators; stochastic discount factors
File-Url: https://papers.tinbergen.nl/01067.pdf
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Handle: RePEc:tin:wpaper:20010067