CFDP 1790

A Simple Test for Identification in GMM under Conditional Moment Restrictions

Author(s): 

Publication Date: March 2011

Pages: 20

Abstract: 

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.

Keywords: 

Conditional moment restrictions, Generalized method of moments, Global identification, Hausman test, Asset pricing

JEL Classification Codes:  C12, C13, C32

Note: 

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