COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1790 A Simple Test for Identification in GMM under Conditional Moment Restrictions Francesco Bravo, Juan Carlos Escanciano and Taisuke Otsu March 2011 This paper proposes a simple, fairly general, test for global
identification of unconditional moment restrictions implied from point-identified
conditional moment restrictions. The test is based on the Hausdorff distance between
an estimator that is consistent even under global identification failure of the
unconditional moment restrictions, and an estimator of the identified set of the
unconditional moment restrictions. The proposed test has a chi-squared
limiting distribution and is also able to detect weak identification
alternatives. Some Monte Carlo experiments show that the proposed test has
competitive finite sample properties already for moderate sample sizes. |
