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Testing Identifiability and Specification in Instrumental Variable Models

  • John G. Cragg (a1) and Stephen G. Donald (a2)
  • DOI: http://dx.doi.org/10.1017/S0266466600007519
  • Published online: 01 February 2009
Abstract

The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.

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3.T.W. Anderson & H. Rubin . Estimation of the parameters of a single equation in a complete system of equations. Annals of Mathematical Statistics 20 (1949): 4663.

7.Y. Fujikoshi Asymptotic expansions of the distributions of the latent roots in MANOVA and the canonical correlations. Journal of Multivariate Analysis 7 (1977): 386396.

10.L.P. Hansen Large sample properties of generalized method of moments estimators. Econometrica 50 (1982): 10291055.

13.N. Kunimoto , K. Morimune & Y. Tsukuda . Asymptotic expansions of the distribution of the test statistics for overidentifying restrictions in a system of simultaneous equations. International Economic Review 24 (1983): 199215.

14.D.N. Lawley Tests of significance for the latent roots of covariance and correlation matrices. Biometrika 43 (1956): 171178.

15.D.N. Lawley Tests of significance in canonical analysis. Biometrika 46 (1959): 5966.

16.P.C.B. Phillips Partially identified econometric models. Econometric Theory 5 (1989): 151240.

19.P. Schmidt Econometrics. New York: Marcel Dekker, 1976.

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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
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