Quantitative Economics

Journal Of The Econometric Society

Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331

Quantitative Economics: Jan, 2025, Volume 16, Issue 1

Double robust inference for continuous updating GMM

https://doi.org/10.3982/QE2347
p. 295-327

Frank Kleibergen|Zhaoguo Zhan

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification, hence its name. The minimizer is the so‐called pseudo‐true value, which equals the true value of the structural parameter under correct specification. To emphasize its importance for applied work where misspecification and weak identification are common, we use the DRLM test to analyze: the risk premia in Adrian et al. (2014) and He et al. (2017); the structural parameters in a nonlinear asset pricing model with constant relative risk aversion.


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Supplemental Material

Supplement to "Double Robust Inference for Continuous Updating GMM"

Frank Kleibergen and Zhaoguo Zhan

This supplemental appendix contains material not found within the manuscript.

Supplement to "Double Robust Inference for Continuous Updating GMM"

Frank Kleibergen and Zhaoguo Zhan

The replication package for this paper is available at https://doi.org/10.5281/zenodo.14025673. The Journal checked the data and codes included in the package for their ability to reproduce the results in the paper and approved online appendices.

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