Valid Two-Step Identification-Robust Confidence Sets for GMM
نویسندگان
چکیده
منابع مشابه
Valid Two-Step Identification-Robust Confidence Sets for GMM
In models with potential weak identification researchers often decide whether to report a robust confidence set based on an initial assessment of model identification. Two-step procedures of this sort can generate large coverage distortions for reported confidence sets, and existing procedures for controlling these distortions are quite limited. This paper introduces a generally-applicable appr...
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ژورنال
عنوان ژورنال: The Review of Economics and Statistics
سال: 2018
ISSN: 0034-6535,1530-9142
DOI: 10.1162/rest_a_00682