<p><p>We develop methods for testing the hypothesis that an econometric model is underidentified and inferring the nature of the failed identification. By adopting a generalized-method-of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the econometric specification. We establish the link between a test for overidentification and our proposed test for underidentification. If, after attempting to replicate the structural relation, we find substantial evidence against the overidentifying restrictions of an augmented model, this is evidence against underidentification of the original model.</p></p>
Authors
Research Fellow Centre for Monetary and Financial Studies (CEMFI)
Manuel is a Research Fellow of the IFS and a Professor of Econometrics at CEMFI, Madrid.
Lars Peter Hansen
Enrique Sentana
Working Paper details
- DOI
- 10.1920/wp.cem.2009.2409
- Publisher
- IFS
Suggested citation
M, Arellano and L, Hansen and E, Sentana. (2009). Underidentification?. London: IFS. Available at: https://ifs.org.uk/publications/underidentification (accessed: 15 May 2024).
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