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Identification, weak instruments, and statistical inference in econometrics

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Author Info
Jean-Marie Dufour

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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 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.

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Publisher Info
Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

Volume (Year): 36 (2003)
Issue (Month): 4 (November)
Pages: 767-808
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Handle: RePEc:cje:issued:v:36:y:2003:i:4:p:767-808

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Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office CIREQ-C.R.D.E., Université de Montréal C.P. 6128, succursale Centre-ville Montréal, Québec, H3C 3J7, Canada
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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C5 - Mathematical and Quantitative Methods - - Econometric Modeling

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO. [Downloadable!]
    Other versions:
  2. DUFOUR, Jean-Marie, 2000. "Économétrie, théorie des tests et philosophie des sciences," Cahiers de recherche 2000-14, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
    Other versions:
  4. Phillips, Peter C B, 1984. "The Exact Distribution of LIML: I," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 249-61, February. [Downloadable!] (restricted)
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  5. Dufour, Jean-Marie, 1990. "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors," Econometrica, Econometric Society, vol. 58(2), pages 475-94, March. [Downloadable!] (restricted)
  6. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07. [Downloadable!] (restricted)
  7. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
  8. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September. [Downloadable!] (restricted)
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  9. Hahn, Jinyong & Hausman, Jerry, 2002. "Notes on bias in estimators for simultaneous equation models," Economics Letters, Elsevier, vol. 75(2), pages 237-241, April. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Nihat Aktas & Eric Bodt & Richard Roll, 2004. "European M&A Regulation is Protectionist," University of California at Los Angeles, Anderson Graduate School of Management 1252, Anderson Graduate School of Management, UCLA. [Downloadable!]
  2. Richard Luger, 2004. "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Working Papers 04-2, Bank of Canada. [Downloadable!]
  3. Denis Bolduc & Lynda Khalaf & Clément Yélou, 2005. "Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time," Computing in Economics and Finance 2005 48, Society for Computational Economics. [Downloadable!]
  4. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Papers 212, University of Pittsburgh, Department of Economics, revised Jan 2006. [Downloadable!]
    Other versions:
  5. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO. [Downloadable!]
    Other versions:
  6. Charlotta Groth & Hashmat Khan, . "Investment adjustment costs: evidence from UK and US industries," Bank of England working papers 332, Bank of England. [Downloadable!]
  7. DUFOUR, Jean-Marie & FARHAT, Abdekjelik & HALLIN, Marc, 2005. "Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series," Cahiers de recherche 2005-05, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  8. Konstantinos Angelopoulos & George Economides, . "Fiscal Policy, Rent Seeking and Growth under Electoral Uncertainty Theory and Evidence from the OECD," Working Papers 2007_28, Department of Economics, University of Glasgow, revised Apr 2008. [Downloadable!]
  9. Jeffry Jacob & Thomas Osang, 2007. "Values, Beliefs and Development," Departmental Working Papers 0705, Southern Methodist University, Department of Economics. [Downloadable!]
  10. Marie-Claude Beaulieu & Lynda Khalaf & Marie-Hélène Gagnon, 2006. "Testing Financial Integration: Finite Sample Motivated Mothods," Computing in Economics and Finance 2006 233, Society for Computational Economics. [Downloadable!]
  11. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics 667, Boston College Department of Economics, revised 05 Sep 2007. [Downloadable!]
    Other versions:
  12. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  13. Khalaf, Lynda & Kichian, Maral, 2003. "Are New Keynesian Phillips Curved Identified?," Cahiers de recherche 0312, GREEN. [Downloadable!]
    Other versions:
  14. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics. [Downloadable!]
  15. Kleck, Gary & Kovandzic, Tomislav & Schaffer, Mark E, 2005. "Gun Prevalence, Homicide Rates and Causality: A GMM Approach to Endogeneity Bias," CEPR Discussion Papers 5357, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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