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Jean-Jacques FORNERON (Boston University) “Detecting Identification Failure in Moment Condition Models”

October 3, 10:30 am - 11:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time:10:30
Date: 03th of October 2019
Place: Room 3001

Jean-Jacques FORNERON (Boston University) “Detecting Identification Failure in Moment Condition Models”

Abstract :

This paper develops an approach to detect identification failures in a large class of moment condition models. This is achieved by introducing a quasi-Jacobian matrix which is asymptotically singular under higher-order local identification as well as weak/set identification; in these settings, standard asymptotics are not valid. Under (semi)-strong identification, where standard asymptotics are valid, this matrix is asymptotically equivalent to the usual Jacobian matrix. After re-scaling, it is thus asymptotically non-singular. Together, these results imply that the eigenvalues of the quasi-Jacobian can detect potential local and global identification failures. Furthermore, the quasi-Jacobian is informative about the span of the identification failure. This information permits two-step identification robust subvector inference without any a priori knowledge of the underlying identification structure. Monte-Carlo simulations and empirical applications illustrate the results.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
October 3
Time:
10:30 am - 11:30 pm
Event Categories:
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Venue