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Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 15 [Issue:] 3 [Year:] 2024 [Pages:] 849-891
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
In this paper, we study the asymptotic behavior of specification tests in conditional moment restriction models under first-order local identification failure with dependent data. More specifically, we obtain conditions under which the conventional specification test for conditional moment restrictions retains its standard normal limit when first-order local identification fails but global identification is still attainable. In the process, we derive some novel intermediate results that include extending the first- and second-order local identification framework to models defined by conditional moment restrictions, establishing the rate of convergence of the GMM estimator and characterizing the asymptotic representation for degenerate U-statistics under strong mixing dependence. Importantly, the specification test is robust to first-order local identification failure regardless of the number of directions in which the Jacobian of the conditional moment restrictions is degenerate and remains valid even if the model is first-order identified.
Schlagwörter: 
GMM
conditional moment restrictions
test for overidentifying restrictions
local and global identification
first-order local identification failure
second-order local identification
U-statistics
strong mixing dependence
robustness
JEL: 
C01
C1
C14
G12
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