I suggest you look at the recent paper by Frank Kleibergen and Sophocles Mavroeidis
"Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve,?
forthcoming in the Journal of Business and Economic Statistics. A preliminary
version of this paper can be downloaded from Frank's webpage at Brown University
Economics dept. Be warned - the weak instrument procedures require the continuous
updating GMM estimator (which is implemented in the GMM function in S+FinMetrics)
****************************************************************
* Eric Zivot *
* Professor and Gary Waterman Distinguished Scholar *
* Department of Economics *
* Adjunct Professor of Finance *
* Adjunct Professor of Statistics
* Box 353330 email: ezivot@u.washington.edu *
* University of Washington phone: 206-543-6715 *
* Seattle, WA 98195-3330 *
*
* www: http://faculty.washington.edu/ezivot *
****************************************************************
On Sun, 11 Jan 2009, Sebastian Kruk wrote:
Hi,
I would like to know how to test Underidentification, weak
identification, and instrument relevance in GMM.
Thanks.
Sebastian.
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