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Testing Identifiability and Specification in Instrumental Variable Models

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  • Cragg, John G.
  • Donald, Stephen G.

Abstract

The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.

Suggested Citation

  • Cragg, John G. & Donald, Stephen G., 1993. "Testing Identifiability and Specification in Instrumental Variable Models," Econometric Theory, Cambridge University Press, vol. 9(2), pages 222-240, April.
    • Handle: RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00
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