Conditional moment models under semi-strong identification

A-Tier
Journal: Journal of Econometrics
Year: 2014
Volume: 182
Issue: 1
Pages: 59-69

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:econom:v:182:y:2014:i:1:p:59-69
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24