{"id":1386,"date":"2020-11-12T18:23:13","date_gmt":"2020-11-12T17:23:13","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-finite-sample-properties-of-the-gmm-anderson-rubin-test-and-identification-issues\/"},"modified":"2020-11-12T18:23:13","modified_gmt":"2020-11-12T17:23:13","slug":"research-economic-seminar-finite-sample-properties-of-the-gmm-anderson-rubin-test-and-identification-issues","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-finite-sample-properties-of-the-gmm-anderson-rubin-test-and-identification-issues\/","title":{"rendered":"Research Economic Seminar: Finite sample properties of the GMM Anderson-Rubin test and identification issues"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p>In the construction of the GMM version of the Anderson and Rubin (AR) test statistic there is the choice to use either uncentered or centered moment conditions to form the weighting matrix. We show that, when the number of moment conditions is moderately large, the centered GMM-AR test is oversized. At the same time, the uncentered version becomes conservative at conventional significance levels. Using an asymptotic expansion, we point to a missing degrees-of-freedom correction in the centered version of the GMM-AR test, which implicitly incorporates an Edgeworth correction. Monte Carlo experiments corroborate our theoretical findings and illustrate the accuracy of the degrees-of-freedom corrected, centered GMM-AR statistic in finite samples.<\/p><p><\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"<p>In the construction of the GMM version of the Anderson and Rubin (AR) test statistic there is the choice to use either uncentered or centered moment conditions to form the weighting matrix. We show that, when the number of moment conditions is moderately large, the centered GMM-AR test is oversized. At the same time, the uncentered version becomes conservative at conventional significance levels. Using an asymptotic expansion, we point to a missing degrees-of-freedom correction in the centered version of the GMM-AR test, which implicitly incorporates an Edgeworth correction. Monte Carlo experiments corroborate our theoretical findings and illustrate the accuracy of the degrees-of-freedom corrected, centered GMM-AR statistic in finite samples.<\/p>\n","protected":false},"author":0,"featured_media":1387,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2020-12-08 13:00:00","event_end_date":"2020-12-08 14:00:00","event_speaker_name":"Rutger Poldermans, Department of Economics and Management, Universit\u00e9 du Luxembourg","event_speaker_link":"","event_is_online":false,"event_location":"Participation only on invitation\r\n\r\nOnline via Webex","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[298],"events-type":[],"organisation":[137,100],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Research Economic Seminar: Finite sample properties of the GMM Anderson-Rubin test and identification issues - FDEF I Uni.lu<\/title>\n<meta name=\"description\" content=\"In the construction of the GMM version of the Anderson and Rubin (AR) test statistic there is the choice to use either uncentered or centered moment conditions to form the weighting matrix. 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Monte Carlo experiments corroborate our theoretical findings and illustrate the accuracy of the degrees-of-freedom corrected, centered GMM-AR statistic in finite samples.\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-finite-sample-properties-of-the-gmm-anderson-rubin-test-and-identification-issues\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Research Economic Seminar: Finite sample properties of the GMM Anderson-Rubin test and identification issues\" \/>\n<meta property=\"og:description\" content=\"In the construction of the GMM version of the Anderson and Rubin (AR) test statistic there is the choice to use either uncentered or centered moment conditions to form the weighting matrix. 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