Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations
AbstractCragg and Donald (1996) have pointed out that the asymptotic size of tests for overidentifying restrictions can be much smaller than the asymptotic nominal size when the structural equation is partially identified. This may lead to misleading inference if the critical values are obtained from a chi-square distribution. To overcome this problem we derive the exact asymptotic distribution of the Byron test statistic. This allows the calculation of asymptotic critical values and p-values corrected for possible failure of identification.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 20/06.
Length: 24 pages
Date of creation: Nov 2006
Date of revision:
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Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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