Publication Date: March 2011
This paper proposes a simple, fairly general, test for global identiﬁcation of unconditional moment restrictions implied from point-identiﬁed conditional moment restrictions. The test is based on the Hausdorﬀ distance between an estimator that is consistent even under global identiﬁcation failure of the unconditional moment restrictions, and an estimator of the identiﬁed set of the unconditional moment restrictions. The proposed test has a chi-squared limiting distribution and is also able to detect weak identiﬁcation alternatives. Some Monte Carlo experiments show that the proposed test has competitive ﬁnite sample properties already for moderate sample sizes.
Conditional moment restrictions, Generalized method of moments, Global identiﬁcation, Hausman test, Asset pricing
JEL Classification Codes: C12, C13, C32
Published in Badi Baltagi, R. Carter Hill, Whitney Newey, and Halbert L. White, eds., Advances in Econometrics: Essays in Honor of Jerry Hausman, Vol. 29, 2012 pp. 455-477