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A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
 Journal of Business & Economic Statistics
, 2002
"... Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown paramete ..."
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Cited by 451 (8 self)
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Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to GMM statistics with nonnormal distributions, even in large samples, so that conventional IV or GMM inferences are misleading. Fortunately, various procedures are now available for detecting and handling weak instruments in the linear IV model and, to a lesser degree, in nonlinear GMM. KEY WORDS:
Instrumental variables and GMM: Estimation and testing
 Stata Journal
, 2003
"... Abstract. We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand–alone test procedures for heteroskedasticity, overid ..."
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Cited by 184 (7 self)
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Abstract. We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand–alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described.
Enhanced routines for instrumental variables/GMM estimation and testing
 THE STATA JOURNAL
"... ... estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and kclass estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates. ..."
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Cited by 150 (5 self)
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... estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and kclass estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.
Information Theoretic Approaches to Inference in Moment Condition Models
 Econometrica
, 1998
"... ..."
Back to Square One: Identification Issues in DSGE Models", mimeo
"... publications will feature a motif taken from the €5 banknote. This paper can be downloaded without charge from ..."
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Cited by 100 (7 self)
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publications will feature a motif taken from the €5 banknote. This paper can be downloaded without charge from
Testing parameters in GMM without assuming that they are identified”, working paper. ——— (2002a): “Pivotal statistics for testing structural parameters in instrumental variables regression”, Econometrica 70(5), 17811805. ——— (2002b): “Two independent piv
, 2001
"... are identified ..."
OneStep Estimators for OverIdentified Generalized Method of Moments Models
 Review of Economic Studies
, 1997
"... In this paper I discuss alternatives to the GMM estimators proposed by Hansen (1982) and others. These estimators are shown to have a number of advantages. First of all, there is no need to estimate in an initial step a weight matrix as required in the conventional estimation procedure. Second, it i ..."
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Cited by 74 (2 self)
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In this paper I discuss alternatives to the GMM estimators proposed by Hansen (1982) and others. These estimators are shown to have a number of advantages. First of all, there is no need to estimate in an initial step a weight matrix as required in the conventional estimation procedure. Second, it is straightforward to derive the distribution of the estimator under general misspecification. Third, some of the alternative estimators have appealing informationtheoretic interpretations. In particular, one of the estimators is an empirical likelihood estimator with an interpretation as a discrete support maximum likelihood estimator. Fourth, in an empirical example one of the new estimators is shown to perform better than the conventional estimators. Finally, the new estimators make it easier for the researcher to get better approximations to their distributions using saddlepoint approximations. The main cost is computational: the system of equations that has to be solved is of greater dimension than the number of parameters of interest. In practice this mayor may not be a problem in particular applications. 1.
Land of Addicts? An Empirical Investigation of HabitBased Asset Pricing Models
, 2003
"... A leading explanation of aggregate stock market behavior suggests that assets are priced as if there were a representative investor whose utility is a power function of the difference between aggregate consumption and a “habit" level, where the habit is some function of lagged and (possibly) co ..."
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Cited by 60 (5 self)
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A leading explanation of aggregate stock market behavior suggests that assets are priced as if there were a representative investor whose utility is a power function of the difference between aggregate consumption and a “habit" level, where the habit is some function of lagged and (possibly) contemporaneous consumption. But theory does not provide precise guidelines about the parametric functional relationship between the habit and aggregate consumption. This makes formal estimation and testing challenging; at the same time, it raises an empirical question about the functional form of the habit that best explains asset pricing data. This paper studies the ability of a general class of habitbased asset pricing models to match the conditional moment restrictions implied by asset pricing theory. Our approach is to treat the functional form of the habit as unknown, and to estimate it along with the rest
Competitive pricing behavior in the auto market: A structural analysis
 Marketing Science
, 2001
"... In a competitive marketplace, the effectiveness of any element of the marketing mix is determined not only by its absolute value, but also by its relative value with respect to the competition. For example, the effectiveness of a price cut in increasing demand is critically related to competitors ’ ..."
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Cited by 50 (12 self)
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In a competitive marketplace, the effectiveness of any element of the marketing mix is determined not only by its absolute value, but also by its relative value with respect to the competition. For example, the effectiveness of a price cut in increasing demand is critically related to competitors ’ reaction to the price change. Managers therefore need to know the nature of competitive interactions among firms. In this paper, we take a theorydriven empirical approach to gain a deeper understanding of the competitive pricing behavior in the U.S. auto market. The abilitymotivation paradigm posits that a firm needs both the ability and the motivation to succeed in implementing a strategy (Boulding and Staelin 1995). We use arguments from the gametheoretic literature to understand firm motivation and abilities