IDEAS home Printed from https://ideas.repec.org/a/ect/emjrnl/v13y2010i3ps56-s79.html
   My bibliography  Save this article

Inference in limited dependent variable models robust to weak identification

Author

Listed:
  • Leandro M. Magnusson

Abstract

We propose tests for structural parameters in limited dependent variable models with endogenous explanatory variables. These tests are based upon the generalized minimum distance principle. They are of the correct size regardless of whether the structural parameters are identified and are especially appropriate for models whose moment conditions are non-linear in the parameters. Moreover, they are computationally simple, allowing them to be implemented using a large number of statistical software packages. We compare our tests to Wald tests in a simulation experiment and use them to analyse the female labour supply and the demand for cigarettes. Copyright (C) 2010 The Author(s). The Econometrics Journal (C) 2010 Royal Economic Society

Suggested Citation

  • Leandro M. Magnusson, 2010. "Inference in limited dependent variable models robust to weak identification," Econometrics Journal, Royal Economic Society, vol. 13(3), pages 56-79, October.
  • Handle: RePEc:ect:emjrnl:v:13:y:2010:i:3:p:s56-s79
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2009.00309.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Sbordone, Argia M., 2005. "Do expected future marginal costs drive inflation dynamics?," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1183-1197, September.
    2. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-1460, November.
    3. Andrew M. Jones & José M. Labeaga, 2003. "Individual heterogeneity and censoring in panel data estimates of tobacco expenditure," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 157-177.
    4. Guggenberger, Patrik & Smith, Richard J., 2005. "Generalized Empirical Likelihood Estimators And Tests Under Partial, Weak, And Strong Identification," Econometric Theory, Cambridge University Press, vol. 21(04), pages 667-709, August.
    5. Newey, Whitney K., 1987. "Efficient estimation of limited dependent variable models with endogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 36(3), pages 231-250, November.
    6. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, vol. 139(1), pages 181-216, July.
    7. John Mullahy, 1997. "Instrumental-Variable Estimation Of Count Data Models: Applications To Models Of Cigarette Smoking Behavior," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 586-593, November.
    8. Andrews, Donald W.K. & Soares, Gustavo, 2007. "Rank Tests For Instrumental Variables Regression With Weak Instruments," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1033-1082, December.
    9. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, July.
    10. Smith, Richard J & Blundell, Richard W, 1986. "An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply," Econometrica, Econometric Society, vol. 54(3), pages 679-685, May.
    11. Mroz, Thomas A, 1987. "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," Econometrica, Econometric Society, vol. 55(4), pages 765-799, July.
    12. Richard W. Blundell & Richard J. Smith, 1989. "Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models," Review of Economic Studies, Oxford University Press, vol. 56(1), pages 37-57.
    13. Blundell, Richard & MaCurdy, Thomas & Meghir, Costas, 2007. "Labor Supply Models: Unobserved Heterogeneity, Nonparticipation and Dynamics," Handbook of Econometrics,in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 69 Elsevier.
    14. Olympia Bover & Manuel Arellano, 1997. "Estimating limited dependent variable models from panel data," Investigaciones Economicas, Fundación SEPI, vol. 21(2), pages 141-166, May.
    15. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    16. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
    17. Santos Silva, J M C, 2001. "Influence Diagnostics and Estimation Algorithms for Powell's SCLS," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 55-62, January.
    18. Lee, Myoung-Jae, 1992. "Winsorized Mean Estimator for Censored Regression," Econometric Theory, Cambridge University Press, vol. 8(03), pages 368-382, September.
    19. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
    20. Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, July.
    21. Arellano, M. & Bover, O. & Labeaga, J.M., 1997. "Autoregressive Models with Sample Selectivity for Panel Data," Papers 9706, Centro de Estudios Monetarios Y Financieros-.
    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


    Cited by:

    1. repec:eee:pubeco:v:153:y:2017:i:c:p:32-48 is not listed on IDEAS
    2. Lanz, Bruno & Provins, Allan, 2017. "Using averting expenditures to estimate the demand for public goods: Combining objective and perceived quality," Resource and Energy Economics, Elsevier, vol. 47(C), pages 20-35.
    3. Antonio Diez de Los Rios, 2015. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 282-295, April.
    4. M. Shahe Emran & Fenohasina Maret-Rakotondrazaka & Stephen C. Smith, 2014. "Education and Freedom of Choice: Evidence from Arranged Marriages in Vietnam," Journal of Development Studies, Taylor & Francis Journals, vol. 50(4), pages 481-501, April.
    5. Jean-Marie Dufour & Joachim Wilde, 2013. "Weak Identification in Probit Models with Endogenous Covariates," Working Papers 95, Institute of Empirical Economic Research, Osnabrueck University, revised 28 Feb 2013.
    6. Wendy Correa Martínez & Michael Jetter, 2016. "Isolating causality between gender and corruption: An IV approach," DOCUMENTOS DE TRABAJO CIEF 014438, UNIVERSIDAD EAFIT.
    7. repec:gii:ciesrp:cies_rp_36rev is not listed on IDEAS

    More about this item

    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
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:13:y:2010:i:3:p:s56-s79. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/resssea.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.