Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
AbstractGeneral formula for the finite sample and asymptotic distributions of the instrumental variable estimators and the Wald statistics in a simultaneous equation model are derived. It is assumed that the coefficient vectors of both endogenous and exogenous variables are only partially identified, even though the order condition for identification is satisfied. This work extends previous results in Phillips (1989) where the coefficient vector of the exogenous variables is partially identified and that of the endogenous variables is totally unidentified. The effect of partial identification on the finite sample and asymptotic distributions of the estimators and the Wald statistics is analyzed by isolating identifiable parts of the coefficient vectors using a rotation of the coordinate system developed in Phillips (1989). The pdf's of the estimators and the Wald statistics are illustrated using simulation and compared with their respective asymptotic distributions.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 51 (1992)
Issue (Month): 1-2 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- In Choi & Peter C.B. Phillips, 1989. "Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations," Cowles Foundation Discussion Papers 929, Cowles Foundation for Research in Economics, Yale University.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.