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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Testing the Null of Identification in GMM
Jonathan Wright
2002-732  (July 2002, latest version November 2002)

Abstract:  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.

Full paper, latest version (289 KB PDF)
Original version (330 KB PDF)

Keywords
Identification, Robust Confidence Sets, Weak Instruments, Generalized Method of Moments

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