Arellano, Manuel: Underidentification?
World Conference Econometric Society, 2000, Seattle

Manuel Arellano, CEMFI
Lars P. Hansen, University of Chicago
Enrique Sentana, CEMFI
Session: C-10-18  Tuesday 15 August 2000  by Arellano, Manuel
We study the identification of an econometric model that is linear in parameters from a generalized-method-of-moments perspective. We regard underidentification as a set of over- identifying restrictions imposed on an augmented structural model. Therefore, our proposal is to test for underidentification by testing for overidentification in the augmented model using standard methods that are available in the literature. As examples we consider intertemporal asset pricing and dynamic panel data models.
Submitted paper full-text in .pdf

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