Valid Two-Step Identification-Robust Confidence Sets for GMM
In models with potentially weak identification, researchers often decide whether to report a robust confidence set based on an initial assessment of model identification. Two-step procedures of this sort can generate large coverage distortions for reported confidence sets, and existing procedures fo...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Published: |
MIT Press
2018
|
| Online Access: | http://hdl.handle.net/1721.1/115063 |