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: | Andrews, Isaiah, Mikusheva, Anna |
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Other Authors: | Massachusetts Institute of Technology. Department of Economics |
Format: | Article |
Language: | English |
Published: |
The Econometric Society
2022
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Online Access: | https://hdl.handle.net/1721.1/145192 |
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