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Conditional moment models under semi-strong identification

Authors
Journal
Journal of Econometrics
0304-4076
Publisher
Elsevier
Volume
182
Issue
1
Identifiers
DOI: 10.1016/j.jeconom.2014.04.008
Keywords
  • Identification
  • Conditional Moments
  • Minimum Distance Estimation
Disciplines
  • Logic

Abstract

Abstract We consider conditional moment models under semi-strong identification. Identification strength is directly defined through the conditional moments that flatten as the sample size increases. Our new minimum distance estimator is consistent, asymptotically normal, robust to semi-strong identification, and does not rely on the choice of a user-chosen parameter, such as the number of instruments or some smoothing parameter. Heteroskedasticity-robust inference is possible through Wald testing without prior knowledge of the identification pattern. Simulations show that our estimator is competitive with alternative estimators based on many instruments, being well-centered with better coverage rates for confidence intervals.

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