Testing the Null of Identification in GMM

43 Pages Posted: 4 Oct 2002

See all articles by Jonathan H. Wright

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Date Written: July 2002


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.

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

JEL Classification: C12, C20, C30

Suggested Citation

Wright, Jonathan H., Testing the Null of Identification in GMM (July 2002). Available at SSRN: https://ssrn.com/abstract=321440 or http://dx.doi.org/10.2139/ssrn.321440

Jonathan H. Wright (Contact Author)

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

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