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Partially Identified Econometric Models

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Abstract

This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best described as apparent identification. One objective of the paper is to explore the properties of conventional statistical procedures in the context of identification failure. Our analysis concentrates on two major types of partially identified model: the classic simultaneous equations model under rank condition failures; and time series spurious regressions. Both types serve to illustrate the extensions that are needed to conventional asymptotic theory if the theory is to accommodate partially identified systems.

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File URL: http://cowles.econ.yale.edu/P/cd/d08a/d0845-r.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 845R.

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Length: 95 pages
Date of creation: 1987
Date of revision: Aug 1988
Publication status: Published in Econometric Theory (1989), 5: 181-240
Handle: RePEc:cwl:cwldpp:845r

Note: CFP 728.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Keywords: Gaussian functionals; identification; simultaneous equations; spurious regressions; asymptotic theory;

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  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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