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- W2093670030 abstract "Hall et al. (2007) propose a method for moment selection based on an information criterion that is a function of the entropy of the limiting distribution of the Generalized Method of Moments (GMM) estimator. They establish the consistency of the method subject to certain conditions that include the identification of the parameter vector by at least one of the moment conditions being considered. In this article, we examine the limiting behavior of this moment selection method when the parameter vector is weakly identified by all the moment conditions being considered. It is shown that the selected moment condition is random and hence not consistent in any meaningful sense. As a result, we propose a two-step procedure for moment selection in which identification is first tested using a statistic proposed by Stock and Yogo (2003) and then only if this statistic indicates identification does the researcher proceed to the second step in which the aforementioned information criterion is used to select moments. ..." @default.
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- W2093670030 date "2008-05-15" @default.
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- W2093670030 title "Entropy-Based Moment Selection in the Presence of Weak Identification" @default.
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- W2093670030 doi "https://doi.org/10.1080/07474930801960261" @default.
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