Abstract
This paper proposes a new test of the null hypothesis that a generalized method of moments model is sufficiently well identified for conventional asymptotics to be reliable. The idea of the test is to compare the volume of two confidence sets—one that is robust to lack of identification and one that is not. Under the null hypothesis, the relative volume of these two sets is Op(1), but under the alternative, the robust confidence set has high probability of being unbounded.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
