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Dive into the research topics where Bertille Antoine is active.

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Featured researches published by Bertille Antoine.


Econometrics Journal | 2009

Efficient Gmm with Nearly-Weak Instruments

Bertille Antoine; Eric Renault

This paper is in the line of the recent literature on weak instruments, which, following the seminal approach of Stock and Wright captures weak identification by drifting population moment conditions. In contrast with most of the existing literature, we do not specify a priori which parameters are strongly or weakly identified. We rather consider that weakness should be related specifically to instruments, or more generally to the moment conditions. In addition, we focus here on the case dubbed nearly-weak identification where the drifting DGP introduces a limit rank deficiency reached at a rate slower than root-T. This framework ensures the consistency of Generalized Method of Moments (GMM) estimators of all parameters, but at a rate possibly slower than usual. It also validates the GMM-LM test with standard formulas. We then propose a comparative study of the power of the LM test and its modified version, or K-test proposed by Kleibergen. Finally, after a well-suited rotation in the parameter space, we identify and estimate directions where root-T convergence is maintained. These results are all directly relevant for practical applications without requiring the knowledge or the estimation of the slower rate of convergence. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009


Econometric Reviews | 2017

On the relevance of weaker instruments

Bertille Antoine; Eric Renault

ABSTRACT We study the asymptotic properties of the standard GMM estimator when additional moment restrictions, weaker than the original ones, are available. We provide conditions under which these additional weaker restrictions improve the efficiency of the GMM estimator. To detect “spurious” identification that may come from invalid moments, we rely on the Hansen J-test that assesses the compatibility between existing restrictions and additional ones. Our simulations reveal that the J-test has good power properties and that its power increases with the weakness of the additional restrictions. Our theoretical characterization of the J-test provides some intuition for why that is.


Journal of Econometrics | 2012

Efficient Minimum Distance Estimation with Multiple Rates of Convergence

Bertille Antoine; Eric Renault


Journal of Financial Econometrics | 2012

Portfolio Selection with Estimation Risk: A Test-Based Approach

Bertille Antoine


Journal of Econometrics | 2014

Conditional Moment Models under Semi-Strong Identification

Bertille Antoine; Pascal Lavergne


Archive | 2012

Efficient Inference with Poor Instruments: a General Framework

Bertille Antoine; Eric Renault


Archive | 2015

Inference in linear models with structural changes and mixed identification strength

Bertille Antoine; Otilia Boldea


Archive | 2014

Efficient Inference with Time-Varying Identification Strength

Bertille Antoine; Otilia Boldea


Archive | 2011

Conditional Moment Models under Weak Identification

Bertille Antoine; Pascal Lavergne


Journal of Financial Econometrics | 2018

Pseudo-True SDFs in Conditional Asset Pricing Models*

Bertille Antoine; Kevin Proulx; Eric Renault

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Pascal Lavergne

Institut national de la recherche agronomique

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