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STICERD Econometrics Seminar Series

Specification Testing for Conditional Moment Restrictions Under Local Identification Failure

Nikolay Gospodinov (Federal Reserve Bank of Atlanta), joint with Prosper Dovonon

Thursday 17 November 2022 14:00 - 15:30

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Unless otherwise specified, in-person seminars are open to the public.

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About this event

In this paper, we study the asymptotic behaviour of the specification in conditional moment restrictions model under first-order local identification failure with dependent data. More specifically, we obtain conditions under which the conventional specification test for conditional moment restrictions remains valid when first-order local identification fails but global identification is still attainable. In the process, we obtain some novel intermediate results that include extending the first- and second-order local identification framework to models defined by conditional moment restrictions, characterizing the rate of convergence of the GMM estimator and the limiting representation for degenerate U-statistics under strong mixing dependence. Simulation and empirical results illustrate the properties and the practical relevance of the proposed testing framework.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.

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