Testing the null of identification in GMM
By: Jonathan Wright.
Series: International finance discussion papers ;; no. 732; International finance discussion papers (Online) ;; no. 732.
Publisher: Federal Reserve Board
Published: 2002
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper proposes a new test of the null hypothesis that a generalized method of moments model is identified.  The test can detect local or global underidentification, and underidentification in some or all directions.  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 infinite relative volume"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 10/12/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.