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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 366 (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 135 (6 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 108 (4 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 88 (6 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 ..."
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 54 (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
Asymptotic optimality of empirical likelihood for testing moment restrictions
, 2001
"... We show by example that empirical likelihood and other commonly used tests for moment restrictions are unable to control the (exponential) rate at which the probability of a Type I error tends to zero. It follows that the optimality of empirical likelihood asserted in Kitamura (2001) does not hold w ..."
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Cited by 47 (5 self)
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We show by example that empirical likelihood and other commonly used tests for moment restrictions are unable to control the (exponential) rate at which the probability of a Type I error tends to zero. It follows that the optimality of empirical likelihood asserted in Kitamura (2001) does not hold without additional assumptions. Under stronger assumptions than those in Kitamura (2001), we establish the following optimality result: (i) empirical likelihood controls the rate at which the probability of a Type I error tends to zero and (ii) among all procedures for which the probability of a Type I error tends to zero at least as fast, empirical likelihood maximizes the rate at which probability of a Type II error tends to zero for “most ” alternatives. This result further implies that empirical likelihood maximizes the rate at which probability of a Type II error tends to zero for all alternatives among a class of tests that satisfy a weaker criterion for their Type I error probabilities.
Vertical Contracts between Manufacturers and Retailers: An Empirical Analysis
 DEPARTMENT OF AGRICULTURAL & RESOURCE ECONOMICS,UCB.CUDAREWORKINGPAPER943
, 2002
"... This paper tests different models of vertical contracting between manufacturers and retailers in the supermarket industry. I estimate demand and use the estimates to compute pricecost margins for retailers and manufacturers under different supply models without observing wholesale prices. I then te ..."
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Cited by 45 (0 self)
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This paper tests different models of vertical contracting between manufacturers and retailers in the supermarket industry. I estimate demand and use the estimates to compute pricecost margins for retailers and manufacturers under different supply models without observing wholesale prices. I then test which set of margins seems to be compatible with the margins obtained from direct estimates of cost and select the best among the nonnested competing models. The models considered are: (1) a double marginalization pricing model; (2) a vertically integrated model; and (3) a variety of alternative (strategic) supply scenarios, allowing for collusion, nonlinear pricing and strategic behavior with respect to private label products. Using data on yogurt sold at several stores in a large urban area of the United States, I find that wholesale prices are close to marginal cost and that retailers have pricing power in the vertical chain. This is consistent with nonlinear pricing by the manufacturers or with high bargaining power of the retailers.