IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

On the behavior of inconsistent instrumental variable estimators

  • Maasoumi, Esfandiar
  • Phillips, Peter C. B.

Results published recently by Hendry (1979) for the limiting distribution of inconsistent instrumental variable estimators in misspecified dynamic systems are incorrect. In particular, Hendry's derivations involve the use of an appropriate control variate and lead to an expression for the covariance matrix of the limiting distribution which, in general, omits many additional terms. Correct formulae are given in the present paper and the accuracy of the asymptotic distribution in finite samples is investigated in a simple case using the know exact small sample distribution. On the basis of our exact results, we argue for caution in the use of response surface regressions of the type recommended by Hendry in Monte Carlo experiments; and we emphasize the need for qualifying statements concerning the parameter environments in which the adequacy of these regressions has been substantiated.

(This abstract was borrowed from another version of this item.)

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://www.sciencedirect.com/science/article/B6VC0-4582368-8/2/ebc6e98d30b6683f78698811090b6886
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 19 (1982)
Issue (Month): 2-3 (August)
Pages: 183-201

as
in new window

Handle: RePEc:eee:econom:v:19:y:1982:i:2-3:p:183-201
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

No references listed on IDEAS
You can help add them by filling out this form.

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

When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:19:y:1982:i:2-3:p:183-201. 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: (Zhang, Lei)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.