Testing Identifiability and Specification in Instrumental Variable Models

Testing Identifiability and Specification in Instrumental Variable Models

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 distr...

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Veröffentlicht in:Econometric theory 1993-06, Vol.9 (2), p.222-240
Hauptverfasser: Cragg, John G., Donald, Stephen G.
Format: Artikel
Sprache:eng
Schlagworte:
Critical values
Economic models
Eigenvalues
Identifiability
Instrumental variables
Linear transformations
Matrices
Null hypothesis
P values
Population parameters
Statistical theories
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Zusammenfassung: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.
ISSN:0266-4666
1469-4360
DOI:10.1017/S0266466600007519