This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jean-Marie Dufour ()

Additional information is available for the following registered author(s):

Abstract

In this text, we review recent developments in econometrics from the viewpoint of statistical test theory. We first review some basic principles of philosophy of science and statistical theory, emphasizing parsimony and falsifiability as criteria for evaluating models, test theory as a formalization of the falsification principle for probabilistic models, and the logical foundation of basic notions in test theory (such as the level of a test). We then show that some of the most frequently used statistical and econometric methods are fundamentally inappropriate for the problems and models considered, while several hypotheses, for which test procedures are commonly proposed, are not testable at all. Such situations lead to ill-defined statistical problems. We analyze several cases of such problems: (1) building confidence intervals in structural models where identification problems may be present; (2) the construction of tests for nonparametric hypotheses, including procedures robust to heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to weaken regularity conditions typically required by statistical analysis, and from an inappropriate use of asymptotic distributional theory. Finally, we underscore the importance of formulating testable hypotheses and models, and of developing econometric methods with provable finite-sample properties.

Dans ce texte, nous analysons les développements récents de l'économétrie à la lumière de la théorie des tests statistiques. Nous revoyons d'abord quelques principes fondamentaux de philosophie des sciences et de théorie statistique, en mettant l'accent sur la parcimonie et la falsifiabilité comme critères d'évaluation des modèles, sur le rôle de la théorie des tests comme formalisation du principe de falsification de modèles probabilistes, ainsi que sur la justification logique des notions de base de la théorie des tests (telles que le niveau d'un test). Nous montrons ensuite que certaines des méthodes statistiques et économétriques les plus utilisées sont fondamentalement inappropriées pour les problèmes et modèles considérés, tandis que de nombreuses hypothèses, pour lesquelles des procédures de test sont communément proposées, ne sont en fait pas du tout testables. De telles situations conduisent à des problèmes statistiques mal posés. Nous analysons quelques cas particuliers de tels problèmes: (1) la construction d'intervalles de confiance dans le cadre de modèles structurels qui posent des problèmes d'identification; (2) la construction de tests pour des hypothèses non paramétriques, incluant la construction de procédures robustes à l'hétéroscédasticité, à la non-normalité ou à la spécification dynamique. Nous indiquons que ces difficultés proviennent souvent de l'ambition d'affaiblir les conditions de régularité nécessaires à toute analyse statistique ainsi que d'une utilisation inappropriée de résultats de théorie distributionnelle asymptotique. Enfin, nous soulignons l'importance de formuler des hypothèses et modèles testables, et de proposer des techniques économétriques dont les propriétés sont démontrables dans les échantillons finis.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.cirano.qc.ca/pdf/publication/2001s-40.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by CIRANO in its series CIRANO Working Papers with number 2001s-40.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 01 May 2001
Date of revision:
Handle: RePEc:cir:cirwor:2001s-40

Contact details of provider:
Postal: 2020 rue University, 25e �tage, Montr�al, Qu�c, H3A 2A5
Phone: (514) 985-4000
Fax: (514) 985-4039
Email:
Web page: http://www.cirano.qc.ca/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Webmaster).

Related research
Keywords: Econometrics; statistics; testing. philosophy of science; falsifiability; Popper; parsimony; identification; weak instruments; nonparametric model; time series; autoregressive model; heteroskedasticity; unit root; robust method; non-normality; ill-defined problem; Économétrie; statistique; théorie des tests; philosophie des sciences; falsifiabilité; Popper; parcimonie; identification; instruments faibles; modèle non paramétrique; séries chronologiques; modèle autorégressif; hétéroscédasticité; racine unitaire; méthode robuste; non-normalité; problème mal posé;

Other versions of this item:

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. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    Other versions:
  2. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Econometrics 9905001, EconWPA. [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)
    Other versions:
  5. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
    Other versions:
  6. Sims, Christopher A, 1971. "Discrete Approximations to Continuous Time Distributed Lags in Econometrics," Econometrica, Econometric Society, vol. 39(3), pages 545-63, May. [Downloadable!] (restricted)
  7. Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November. [Downloadable!] (restricted)
  8. McManus, Douglas A. & Nankervis, John C. & Savin, N. E., 1994. "Multiple optima and asymptotic approximations in the partial adjustment model," Journal of Econometrics, Elsevier, vol. 62(2), pages 91-128, June. [Downloadable!] (restricted)
  9. Maddala, G S & Jeong, Jinook, 1992. "On the Exact Small Sample Distribution of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 60(1), pages 181-83, January. [Downloadable!] (restricted)
  10. Nelson, Charles R & Startz, Richard, 1990. "The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One," Journal of Business, University of Chicago Press, vol. 63(1), pages S125-40, January. [Downloadable!] (restricted)
    Other versions:
  11. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    Other versions:
  12. 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.
  13. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July. [Downloadable!] (restricted)
    Other versions:
  14. Peter C.B. Phillips, 1987. "Partially Identified Econometric Models," Cowles Foundation Discussion Papers 845R, Cowles Foundation, Yale University, revised Aug 1988. [Downloadable!]
  15. Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-80, January. [Downloadable!] (restricted)
  16. Choi, In & Phillips, Peter C. B., 1992. "Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 113-150. [Downloadable!] (restricted)
    Other versions:
  17. Wouter J. den Haan & Andrew Levin, 1996. "A Practitioner's Guide to Robust Covariance Matrix Estimation," University of California at San Diego, Economics Working Paper Series 96-17, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  18. Dufour, Jean-Marie & Jasiak, Joann, 2001. "Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(3), pages 815-43, August.
  19. Jiahui Wang & Eric Zivot, 1998. "Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 66(6), pages 1389-1404, November.
  20. Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept. [Downloadable!] (restricted)
  21. Touhami Abdelkhalek & Jean-Marie Dufour, 1998. "Statistical Inference For Computable General Equilibrium Models, With Application To A Model Of The Moroccan Economy," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 520-534, November. [Downloadable!] (restricted)
    Other versions:
  22. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  23. Campbell, Bryan & Dufour, Jean-Marie, 1995. "Exact Nonparametric Orthogonality and Random Walk Tests," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 1-16, February. [Downloadable!] (restricted)
    Other versions:
  24. Jon Faust, 1996. "Theoretical confidence level problems with confidence intervals for the spectrum of a time series," International Finance Discussion Papers 575, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  25. Campbell, Bryan & Dufour, Jean-Marie, 1997. "Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(1), pages 151-73, February.
    Other versions:
  26. John Bound & David A. Jaeger & Regina Baker, 1993. "The Cure Can Be Worse than the Disease: A Cautionary Tale Regarding Instrumental Variables," NBER Technical Working Papers 0137, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  27. Dufour, J.M., 1981. "Rank Tests for Serial Dependence," Cahiers de recherche 8127, Universite de Montreal, Departement de sciences economiques.
    Other versions:
  28. Charles R. Nelson & Richard Startz, 1988. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," NBER Technical Working Papers 0068, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  29. Charles R. Nelson & Richard Startz & Eric Zivot, 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Econometrics 9612002, EconWPA. [Downloadable!]
    Other versions:
  30. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April. [Downloadable!] (restricted)
  31. Jean-Marie Dufour & Joanna Jasiak, 2000. "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," Econometric Society World Congress 2000 Contributed Papers 1536, Econometric Society. [Downloadable!]
    Other versions:
  32. Hall, Alastair R & Rudebusch, Glenn D & Wilcox, David W, 1996. "Judging Instrument Relevance in Instrumental Variables Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 283-98, May.
    Other versions:
Full references

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. DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 2003-12, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  2. Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, EconWPA, revised 10 Oct 2003. [Downloadable!]
Statistics
Access and download statistics

Did you know? Over five million full texts a year are downloaded through IDEAS.

This page was last updated on 2009-11-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.