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Full-Text Articles in Social and Behavioral Sciences
Estimation And Inference With Weak, Semi-Strong, And Strong Identification, Donald W.K. Andrews, Xu Cheng
Estimation And Inference With Weak, Semi-Strong, And Strong Identification, Donald W.K. Andrews, Xu Cheng
Cowles Foundation Discussion Papers
This paper analyzes the properties of standard estimators, tests, and confidence sets (CS’s) in a class of models in which the parameters are unidentified or weakly identified in some parts of the parameter space. The paper also introduces methods to make the tests and CS’s robust to such identification problems. The results apply to a class of extremum estimators and corresponding tests and CS’s, including maximum likelihood (ML), least squares (LS), quantile, generalized method of moments (GMM), generalized empirical likelihood (GEL), minimum distance (MD), and semi-parametric estimators. The consistency/lack-of-consistency and asymptotic distributions of the estimators are established under a full …
Estimation And Inference With Weak, Semi-Strong, And Strong Identification, Donald W.K. Andrews, Xu Cheng
Estimation And Inference With Weak, Semi-Strong, And Strong Identification, Donald W.K. Andrews, Xu Cheng
Cowles Foundation Discussion Papers
This paper analyzes the properties of standard estimators, tests, and confidence sets (CS’s) for parameters that are unidentified or weakly identified in some parts of the parameter space. The paper also introduces methods to make the tests and CS’s robust to such identification problems. The results apply to a class of extremum estimators and corresponding tests and CS’s that are based on criterion functions that satisfy certain asymptotic stochastic quadratic expansions and that depend on the parameter that determines the strength of identification. This covers a class of models estimated using maximum likelihood (ML), least squares (LS), quantile, generalized method …