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On the Normalization of Structural Equations: Properties of Direct Estimators

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  • Hillier, Grant H

Abstract

In a single structural equation, only the direction of the vector of coefficients of the endogenous variables is determined. Estimators for that direction can be defined directly, but are also induced by classical estimators that embody the traditional normalization rule. Exact distribution results show that the properties of estimators that depend on the usual normalization rule--which gives special emphasis to a particular direction--are distorted by that dependence, while those of the direct estimators are not. Thus, the traditional normalization rule may serve to define the parameters of interest, but should not be embodied in the estimation procedure. Copyright 1990 by The Econometric Society.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 58 (1990)
Issue (Month): 5 (September)
Pages: 1181-94

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Handle: RePEc:ecm:emetrp:v:58:y:1990:i:5:p:1181-94

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Cited by:
  1. Enrique Moral-Benito & Cristian Bartolucci, 2011. "Income and democracy: revisiting the evidence," Banco de Espa�a Working Papers 1115, Banco de Espa�a.
  2. T. W. Anderson & Naoto Kunitomo & Yukitoshi Matsushita, 2009. "The Limited Information Maximum Likelihood Estimator as an Angle," CIRJE F-Series CIRJE-F-619, CIRJE, Faculty of Economics, University of Tokyo.
  3. Guido Imbens, 2014. "Instrumental Variables: An Econometrician's Perspective," NBER Working Papers 19983, National Bureau of Economic Research, Inc.
  4. Randolph G. K. Tan, 2000. "Finite-Sample Optimality of Tests in a Structural Equation," Econometric Society World Congress 2000 Contributed Papers 1853, Econometric Society.
  5. Imbens, Guido W., 2014. "Instrumental Variables: An Econometrician's Perspective," IZA Discussion Papers 8048, Institute for the Study of Labor (IZA).
  6. John C. Chao & Peter C.B. Phillips, 1998. "Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables," Cowles Foundation Discussion Papers 1198, Cowles Foundation for Research in Economics, Yale University.
  7. Grant Hillier, 2006. "On the conditional likelihood ratio test for several parameters in IV regression," CeMMAP working papers CWP26/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Andrew M. Jones & José M. Labeaga, 2003. "Individual heterogeneity and censoring in panel data estimates of tobacco expenditure," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 157-177.
  9. Rodrigo Alfaro, 2008. "Higher Order Properties of the Symmetricallr Normalized Instrumental Variable Estimator," Working Papers Central Bank of Chile 500, Central Bank of Chile.
  10. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  11. Giovanni Forchini, 2006. "Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations," Monash Econometrics and Business Statistics Working Papers 20/06, Monash University, Department of Econometrics and Business Statistics.
  12. J. David López-Salido & Pilar Velilla, 2002. "La dinámica de los márgenes en España. Una primera aproximación con datos agregados," Investigaciones Economicas, Fundación SEPI, vol. 26(1), pages 59-85, January.
  13. Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H., 2008. "Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments," Journal of Econometrics, Elsevier, vol. 146(2), pages 241-254, October.
  14. Marmer, Vadim & Sakata, Shinichi, 2011. "Instrumental Variables Estimation and Weak-Identification-Robust Inference Based on a Conditional Quantile Restriction," Microeconomics.ca working papers vadim_marmer-2011-26, Vancouver School of Economics, revised 28 Sep 2011.
  15. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.

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