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Identification, weak instruments, and statistical inference in econometrics

Identification, weak instruments, and statistical inference in econometrics Abstract.  We discuss statistical inference problems associated with identification and testability in econometrics. We consider inference in non‐parametric models and weakly identified structural models (weak instruments). We point out that many ill‐defined statistical problems, such as non‐testable hypotheses, occur in these areas and are typically associated with asymptotic approximations. In non‐parametric models, such problems include testing moments and inference under heteroscedasticity or serial dependence of unknown form. For weakly identified structural models, difficulties are typically associated with improper pivots, and we review recent developments aimed at proposing more reliable procedures, including alternative proposed statistics, bounds, projection, split‐sampling, conditioning, Monte Carlo tests. JEL classification: C1, C12, C14, C15, C3, C5 http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Canadian Journal of Economics/Revue Canadienne D'économique Wiley

Identification, weak instruments, and statistical inference in econometrics

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References (7)

Publisher
Wiley
Copyright
Copyright © 2003 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0008-4085
eISSN
1540-5982
DOI
10.1111/1540-5982.t01-3-00001
Publisher site
See Article on Publisher Site

Abstract

Abstract.  We discuss statistical inference problems associated with identification and testability in econometrics. We consider inference in non‐parametric models and weakly identified structural models (weak instruments). We point out that many ill‐defined statistical problems, such as non‐testable hypotheses, occur in these areas and are typically associated with asymptotic approximations. In non‐parametric models, such problems include testing moments and inference under heteroscedasticity or serial dependence of unknown form. For weakly identified structural models, difficulties are typically associated with improper pivots, and we review recent developments aimed at proposing more reliable procedures, including alternative proposed statistics, bounds, projection, split‐sampling, conditioning, Monte Carlo tests. JEL classification: C1, C12, C14, C15, C3, C5

Journal

Canadian Journal of Economics/Revue Canadienne D'économiqueWiley

Published: Nov 1, 2003

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