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GMM with Weak Identification and Near Exogenneity
Ying Fang
#001989 20131014 (published)
This chapter studies the asymptotic properties of estimation and inference with weak identification and near exogeneity in a GMM framework with instrumental variables. We obtained limiting results under weak identification and near exogeneity of general GMM estimators and some specific GMM estimators, such as one-step GMM estimator, two-step GMM estimator and continuous updating estimator. We also examine the asymptotic properties of the Anderson-Rubin type and the Kleibergen type tests under weak identification and near exogeneity.
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