Optimal Decision Rules for Weak GMM
<jats:p>This paper studies optimal decision rules, including estimators and tests, for weakly identified GMM models. We derive the limit experiment for weakly identified GMM, and propose a theoretically‐motivated class of priors which give rise to quasi‐Bayes decision rules as a limiting case....
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
The Econometric Society
2022
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| Online Access: | https://hdl.handle.net/1721.1/145192 |