Advanced Search
MyIDEAS: Login

Conditional inference for possibly unidentified structural equations

Contents:

Author Info

  • Forchini, G.
  • Hillier, G.H.

Abstract

The possibility that a structural equation may not be identified casts doubt on the measures of estimator precision that are normally used. We argue that the observed identifiability test statistic is directly relevant to the precision with which the structural parameters can be estimated, and hence argue that inference in such models should be conditioned on the observed value of that statistic (or statistics). We examine in detail the effects of conditioning on the properties of the ordinary least squares (OLS) and two-stage least squares (TSLS) estimators for the coefficients of the endogenous variables in a single structural equation. We show that: (a) conditioning has very little impact on the properties of the OLS estimator, but a substantial impact on those of the TSLS estimator; (b) the conditional variance of the TSLS estimator can be very much larger than its unconditional variance (when the identifiability statistic is small), or very much smaller (when the identifiability statistic is large); and (c) conditional mean-square-error comparisons of the two estimators favour the OLS estimator when the sample evidence only weakly supports the identifiablity hypothesis, can favour TSLS slightly when that evidence is moderately favourable, but there is nothing to choose between the two estimators when the data strongly supports the identification hypothesis

Download Info

If 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.
File URL: http://eprints.soton.ac.uk/33141/1/9906.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 9906.

as in new window
Length:
Date of creation: 01 Jan 1999
Date of revision:
Handle: RePEc:stn:sotoec:9906

Contact details of provider:
Postal: Highfield, Southampton SO17 1BJ
Phone: (+44) 23 80592537
Fax: (+44) 23 80593858
Email:
Web page: http://www.economics.soton.ac.uk/
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

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.:
as in new window
  1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. John C. Chao & Norman Rasmus Swanson, 2004. "Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction," Yale School of Management Working Papers ysm375, Yale School of Management.
  2. Forchini, G., 2006. "On The Bimodality Of The Exact Distribution Of The Tsls Estimator," Econometric Theory, Cambridge University Press, vol. 22(05), pages 932-946, October.
  3. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation for Research in Economics, Yale University.
  4. Russell Davidson & James G. MacKinnon, 2011. "Confidence Sets Based on Inverting Anderson-Rubin Tests," Working Papers 1257, Queen's University, Department of Economics.
  5. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.
  6. Frank Kleibergen & Eric Zivot, 2003. "Bayesian and Classical Approaches to Instrumental Variable Regression," Working Papers UWEC-2002-21-P, University of Washington, Department of Economics.
  7. Dufour, Jean-Marie & Taamouti, Mohamed, 2007. "Further results on projection-based inference in IV regressions with weak, collinear or missing instruments," Journal of Econometrics, Elsevier, vol. 139(1), pages 133-153, July.
  8. Grant Hillier & Giovanni Forchini, 2004. "Ill-posed Problems and Instruments' Weakness," Econometric Society 2004 Australasian Meetings 357, Econometric Society.
  9. Adrian Pagan, 2007. "Weak Instruments: A Guide to the Literature," NCER Working Paper Series 13, National Centre for Econometric Research.
  10. C.L. Skeels, 2007. "Conceptual Frameworks and Experimental Design in Simultaneous Equations," Department of Economics - Working Papers Series 1020, The University of Melbourne.
  11. D.S. Poskitt & C.L. Skeels, 2002. "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series 862, The University of Melbourne.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:stn:sotoec:9906

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Thorn).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.