TESTING IDENTIFIABILITY AND SPECIFICATION IN INSTRUMENTAL VARIABLE MODELS

被引：774

作者：

CRAGG, JG ^{[1
]}

DONALD, SG ^{[1
]}

机构：

[1] UNIV FLORIDA,GAINESVILLE,FL 32611

来源：

ECONOMETRIC THEORY | 1993年 / 9卷 / 02期

关键词：

D O I：

10.1017/S0266466600007519

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：222 / 240

页数：19

共 19 条

[1] ESTIMATION OF THE PARAMETERS OF A SINGLE EQUATION IN A COMPLETE SYSTEM OF STOCHASTIC EQUATIONS
ANDERSON, TW
RUBIN, H
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1949, 20 (01): : 46 - 63
[2] ANDERSON TW, 1951, P 2 BERK S MATH STAT, P103
[3] Anderson TW., 1958, INTRO MULTIVARIATE S
[4] CRAGG J, 1989, 8913 U BRIT COL DEP
[5] CRAGG JG, 1991, UNPUB RESULT TESTING
[6] CRAGG JG, 1989, 8923 U BRIT COL DEP
[7] ASYMPTOTIC EXPANSIONS OF DISTRIBUTIONS OF LATENT ROOTS IN MANOVA AND CANONICAL CORRELATIONS
FUJIKOSHI, Y
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 1977, 7 (03) : 386 - 396
[8] Fujikoshi Y., 1977, MULTIVARIATE ANAL, VIV, P55
[9] GOLDBERER AS, 1964, ECONOMETRIC THEORY
[10] LARGE SAMPLE PROPERTIES OF GENERALIZED-METHOD OF MOMENTS ESTIMATORS
HANSEN, LP
[J]. ECONOMETRICA, 1982, 50 (04) : 1029 - 1054

← 1 2 →