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.
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.
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:
Contact details of provider:
Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
More information through EDIRC
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
This paper has been announced in the following NEP Reports:
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.:
- 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.
- 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.
- Peter C.B. Phillips, 1987.
"Partially Identified Econometric Models,"
Cowles Foundation Discussion Papers
845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
- Hillier, Grant H., 1985. "On the Joint and Marginal Densities of Instrumental Variable Estimators in a General Structural Equation," Econometric Theory, Cambridge University Press, vol. 1(01), pages 53-72, April.
- Robin, Jean-Marc & Smith, Richard J., 2000.
"Tests Of Rank,"
Cambridge University Press, vol. 16(02), pages 151-175, April.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments,"
Econometric Society, vol. 65(3), pages 557-586, May.
- Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
- Hillier, Grant H, 1990. "On the Normalization of Structural Equations: Properties of Direct Estimators," Econometrica, Econometric Society, vol. 58(5), pages 1181-94, September.
- Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November.
- Hausman, Jerry A., 1983. "Specification and estimation of simultaneous equation models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 7, pages 391-448 Elsevier.
- Hillier, Grant, 2006. "Yet More On The Exact Properties Of Iv Estimators," Econometric Theory, Cambridge University Press, vol. 22(05), pages 913-931, October.
- Byron, R P, 1974. "Testing Structural Specification Using the Unrestricted Reduced Form," Econometrica, Econometric Society, vol. 42(5), pages 869-83, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simone Grose).
If references are entirely missing, you can add them using this form.