Weak Identification with Bounds in a Class of Minimum Distance Models
Fuente:
arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2020
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| _version_ | 1866914070696820736 |
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| author | Cox, Gregory Fletcher |
| author_facet | Cox, Gregory Fletcher |
| contents | When parameters are weakly identified, bounds on the parameters may provide a valuable source of information. Existing weak identification estimation and inference results are unable to combine weak identification with bounds. Within a class of minimum distance models, this paper proposes identification-robust inference that incorporates information from bounds when parameters are weakly identified. This paper demonstrates the value of the bounds and identification-robust inference in a simple latent factor model and a simple GARCH model. This paper also demonstrates the identification-robust inference in an empirical application, a factor model for parental investments in children. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2012_11222 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Weak Identification with Bounds in a Class of Minimum Distance Models Cox, Gregory Fletcher Econometrics Statistics Theory When parameters are weakly identified, bounds on the parameters may provide a valuable source of information. Existing weak identification estimation and inference results are unable to combine weak identification with bounds. Within a class of minimum distance models, this paper proposes identification-robust inference that incorporates information from bounds when parameters are weakly identified. This paper demonstrates the value of the bounds and identification-robust inference in a simple latent factor model and a simple GARCH model. This paper also demonstrates the identification-robust inference in an empirical application, a factor model for parental investments in children. |
| title | Weak Identification with Bounds in a Class of Minimum Distance Models |
| topic | Econometrics Statistics Theory |
| url | https://arxiv.org/abs/2012.11222 |