Econometric Theory

Table of Contents - 2003 - Volume 19, Issue 02  


DETECTING LACK OF IDENTIFICATION IN GMM

Jonathan H.  Wright  a1 c1
a1 Federal Reserve Board

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Abstract

This paper proposes a test of the null of underidentification in the nonlinear-in-parameters generalized method of moments model. It can be thought of as a nonlinear analog of the usual linear instrumental variables first-stage F-test. It can be used as a diagnostic to warn a researcher when conventional asymptotic theory is unlikely to work well. a


Correspondence:
c1 Address correspondence to: Jonathan Wright, Federal Reserve Board, Washington, DC 20551, USA; e-mail: jonathan.h.wright@frb.gov.

Footnotes

a I am grateful to Don Andrews, Jon Faust, John Fernald, Jim Stock, and two anonymous referees for their helpful comments on earlier drafts of this manuscript. I am also grateful to George Tauchen for providing me with the code for generating artificial asset price data. All errors are my sole responsibility.