GMM WITH WEAK IDENTIFICATION

By James H. Stock, Jonathan H. Wright. 2000

824 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/98bf709023b0f253f33c305b2d42c5f127b717e0

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Citations in the corpus

ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION (2011, neutral): “Stock and Wright (2000) provide robust tests in a GMM context.”
Luxury Goods and the Equity Premium (2004, neutral): “This is a problem in estimating the EIS since both consumption growth and asset returns are difficult to predict (Stock and Wright (2000), Neely, Roy, and Whiteman (2001), and Yogo (2003)).”
Efficient GMM with nearly-weak instruments (2009, positive): “007y (for set 2): in other words, we confirm Stock and Wright's (2000) intuition that the parameter η\ which is estimated at the standard rate \ff is almost equal to <5.”
Invited Paper - Even the Rich Can Make Themselves Poor: A Critical Examination of IV Methods in Marketing Applications (2014, background): “Villas-Boas and Winer (1999) make the point that even individual level choice models could be subject to price endogeneity.”
GMM with Many Moment Conditions (2004, methodology): “Interestingly, for the last claim (i.e., asymptotic normality) to hold, the moment conditions should be stronger than in the Stock and Wright (2000) setting (c n = q n /n) since if c n = q n /n and q n → ∞, then q n /(nc n ) 1/2 = q 1/2 n → ∞.”
Inference in Structural Vector Autoregressions identified with an external instrument (2020, methodology): “12 The parameter (aΘ0,11)(2)/Var(elξ ) is analogous to the so-called concentration parameter in IV regression (see for example Stock and Yogo (2005) and Andrews and Stock (2007)).”
Enhanced routines for instrumental variables/GMM estimation and testing (2007, methodology): “This is the Stock and Wright (2000) S statistic, which is a Lagrange Multiplier (LM) version of the Anderson–Rubin weak-instruments-robust test.”
Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics (2007, background): “A number of novel statistics have been proposed that overcome the difficulties associated with the traditional IV statistics: Stock and Wright (2000) introduce the S-statistic, which is based on the Anderson–Rubin (AR) (1949) statistic, Kleibergen (2002, 2005) constructs a score or Lagrange multip”
Incentives, Targeting and Firm Performance: An Analysis of Non-Executive Stock Options (2010, neutral): “instruments such as the Stock-Wright S statistic (Stock and Wright (2000)), which generalizes the”
GMM with many weak moment conditions (2005, methodology): “The alternative asymptotics is based on many weak moment sequences like those of Chao and Swanson (2004, 2005), Stock and Yogo (2004), and Han and Phillips (2005).”