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Weak Identification (weak + identification)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	71%
Humanities and Social Sciences	28%

Selected Abstracts

GMM with Weak Identification

ECONOMETRICA, Issue 5 2000
James H. Stock
This paper develops asymptotic distribution theory for GMM estimators and test statistics when some or all of the parameters are weakly identified. General results are obtained and are specialized to two important cases: linear instrumental variables regression and Euler equations estimation of the CCAPM. Numerical results for the CCAPM demonstrate that weak-identification asymptotics explains the breakdown of conventional GMM procedures documented in previous Monte Carlo studies. Confidence sets immune to weak identification are proposed. We use these results to inform an empirical investigation of various CCAPM specifications; the substantive conclusions reached differ from those obtained using conventional methods. [source]

Weak Identification of Forward-looking Models in Monetary Economics,

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 2004
Sophocles Mavroeidis
Abstract Recently, single-equation estimation by the generalized method of moments (GMM) has become popular in the monetary economics literature, for estimating forward-looking models with rational expectations. We discuss a method for analysing the empirical identification of such models that exploits their dynamic structure and the assumption of rational expectations. This allows us to judge the reliability of the resulting GMM estimation and inference and reveals the potential sources of weak identification. With reference to the New Keynesian Phillips curve of Galí and Gertler [Journal of Monetary Economics (1999) Vol. 44, 195] and the forward-looking Taylor rules of Clarida, Galí and Gertler [Quarterly Journal of Economics (2000) Vol. 115, 147], we demonstrate that the usual ,weak instruments' problem can arise naturally, when the predictable variation in inflation is small relative to unpredictable future shocks (news). Hence, we conclude that those models are less reliably estimated over periods when inflation has been under effective policy control. [source]

GMM with Weak Identification

Free floating in the cosmopolis?

GLOBAL NETWORKS, Issue 4 2010
Exploring the identity-belonging of transnational knowledge workers
Abstract In this article I explore what I call the ,identity-belonging' of transnational knowledge workers, a diverse group of serially migrating career professionals who have spent extended periods of time in at least three countries, usually following career opportunities. Unlike most recent writing on transnationalism, which focuses on enduring connections of migrants with their ,home' countries/places, here I explore a transnationalism that may transcend the national, and generally the territorial, principle, with repercussions for identity-belonging. In this context, how transnational knowledge workers position themselves towards belonging to a nation and towards the idea of cosmopolitanism is of particular interest. From data collected through in-depth interviews in Australia and Indonesia, I conclude that their globally recognized profession forms the central axis of their identity-belonging, alongside a weak identification with their nation of origin. The feeling of belonging to and identifying with particular locales and local communities was articulated flexibly and instrumentally in association with professional and wider social networks, while no primordial territorial attachments could be identified. [source]

Identifying the new Keynesian Phillips curve

JOURNAL OF APPLIED ECONOMETRICS, Issue 5 2008
James M. Nason
Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes how past inflation, expected future inflation, and a measure of real aggregate demand drive the current inflation rate. This paper studies the (potential) weak identification of the NKPC under Generalized Method of Moments and traces this syndrome to a lack of higher-order dynamics in exogenous variables. We employ analytic methods to understand the economics of the NKPC identification problem in the canonical three-equation, new Keynesian model. We revisit the empirical evidence for the USA, the UK, and Canada by constructing tests and confidence intervals based on the Anderson and Rubin (1949) statistic, which is robust to weak identification. We also apply the Guggenberger and Smith (2008) LM test to the underlying NKPC pricing parameters. Both tests yield little evidence of forward-looking inflation dynamics. Copyright © 2008 John Wiley & Sons, Ltd. [source]

Weak Identification of Forward-looking Models in Monetary Economics,

National Identity and Attitude Toward Foreigners in a Multinational State: A Replication

POLITICAL PSYCHOLOGY, Issue 2 2003
Jaak Billiet
An analysis of the 1995 Belgian General Election Survey indicates that the bipolar national identity variable, which contrasts citizens who identify exclusively with the Belgian nation with those who identify exclusively with the Flemish or Walloon subnation, measures not only the direction but also the intensity of national feelings. Respondents who are located at the middle of the scale tend to have a weak identification with both the nation and the subnation. On the basis of a structural equations modeling approach involving a test of the construct equivalence in the two regions and a control for agreeing-response bias, it is shown that the bipolar national identity variable and attitude toward foreigners are inversely related in Flanders and Wallonia. In Flanders, citizens with a strong subnational identification tend to have a negative attitude toward foreigners; those with a strong Belgian identification are more positive. This relationship became more pronounced after controlling for the respondents' level of education. In Wallonia, a reverse but less pronounced relationship was found. These findings support the hypothesis that the relationship between the variables of national identity and attitude toward foreigners is not intrinsic, but is at least partly determined by the social representation of the nation. [source]