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Identification, weak instruments, and statistical inference in econometrics

  • Jean-Marie Dufour

We discuss statistical inference problems associated with identification and testability in econometrics. We consider inference in non-parametric models and weakly identified structural models (weak instruments). We point out that many statistical problems, such as non-testable hypotheses, occur in these areas and are typically associated with asymptotic approximations. In non-parametric models, such problems include testing moments and inference under heteroscedasticity or serial dependence of unknown form. For weakly identified structural models, difficulties are typically associated with improper pivots, and we review recent developments aimed at proposing more reliable procedures, including alternative proposed statistics, bounds, projection, split-sampling, conditioning, Monte Carlo tests.

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Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

Volume (Year): 36 (2003)
Issue (Month): 4 (November)
Pages: 767-808

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Handle: RePEc:cje:issued:v:36:y:2003:i:4:p:767-808
Contact details of provider: Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
Web page: http://economics.ca/cje/
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  1. Dufour, J.M., 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07.
  3. DUFOUR, Jean-Marie, 2000. "Économétrie, théorie des tests et philosophie des sciences," Cahiers de recherche 2000-14, Universite de Montreal, Departement de sciences economiques.
  4. Peter C.B. Phillips, 1982. "The Exact Distribution of LIML: I," Cowles Foundation Discussion Papers 658, Cowles Foundation for Research in Economics, Yale University.
  5. 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.
  6. Hahn, Jinyong & Hausman, Jerry, 2002. "Notes on bias in estimators for simultaneous equation models," Economics Letters, Elsevier, vol. 75(2), pages 237-241, April.
  7. Dufour, J.-M., 1986. "Exact tests and confidence sets in linear regressions with autocorrelated errors," CORE Discussion Papers 1986037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  9. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
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