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

Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie

  • Jean-Marie Dufour

In this text, we review recent developments in econometrics from the viewpoint of statistical test theory. We first review some basic principles of philosophy of science and statistical theory, emphasizing parsimony and falsifiability as criteria for evaluating models, test theory as a formalization of the falsification principle for probabilistic models, and the logical foundation of basic notions in test theory (such as the level of a test). We then show that some of the most frequently used statistical and econometric methods are fundamentally inappropriate for the problems and models considered, while several hypotheses, for which test procedures are commonly proposed, are not testable at all. Such situations lead to ill-defined statistical problems. We analyze several cases of such problems: (1) building confidence intervals in structural models where identification problems may be present; (2) the construction of tests for nonparametric hypotheses, including procedures robust to heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to weaken regularity conditions typically required by statistical analysis, and from an inappropriate use of asymptotic distributional theory. Finally, we underscore the importance of formulating testable hypotheses and models, and of developing econometric methods with provable finite-sample properties. Dans ce texte, nous analysons les développements récents de l'économétrie à la lumière de la théorie des tests statistiques. Nous revoyons d'abord quelques principes fondamentaux de philosophie des sciences et de théorie statistique, en mettant l'accent sur la parcimonie et la falsifiabilité comme critères d'évaluation des modèles, sur le rôle de la théorie des tests comme formalisation du principe de falsification de modèles probabilistes, ainsi que sur la justification logique des notions de base de la théorie des tests (telles que le niveau d'un test). Nous montrons ensuite que certaines des méthodes statistiques et économétriques les plus utilisées sont fondamentalement inappropriées pour les problèmes et modèles considérés, tandis que de nombreuses hypothèses, pour lesquelles des procédures de test sont communément proposées, ne sont en fait pas du tout testables. De telles situations conduisent à des problèmes statistiques mal posés. Nous analysons quelques cas particuliers de tels problèmes: (1) la construction d'intervalles de confiance dans le cadre de modèles structurels qui posent des problèmes d'identification; (2) la construction de tests pour des hypothèses non paramétriques, incluant la construction de procédures robustes à l'hétéroscédasticité, à la non-normalité ou à la spécification dynamique. Nous indiquons que ces difficultés proviennent souvent de l'ambition d'affaiblir les conditions de régularité nécessaires à toute analyse statistique ainsi que d'une utilisation inappropriée de résultats de théorie distributionnelle asymptotique. Enfin, nous soulignons l'importance de formuler des hypothèses et modèles testables, et de proposer des techniques économétriques dont les propriétés sont démontrables dans les échantillons finis.

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.cirano.qc.ca/files/publications/2001s-40.pdf
Download Restriction: no

Paper provided by CIRANO in its series CIRANO Working Papers with number 2001s-40.

as
in new window

Length: 23 pages
Date of creation: 01 May 2001
Date of revision:
Handle: RePEc:cir:cirwor:2001s-40
Contact details of provider: Postal: 1130 rue Sherbrooke Ouest, suite 1400, Montréal, Quéc, H3A 2M8
Phone: (514) 985-4000
Fax: (514) 985-4039
Web page: http://www.cirano.qc.ca/
Email:


More information through EDIRC

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. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  2. Phillips, Peter C B, 1984. "The Exact Distribution of LIML: I," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 249-61, February.
  3. repec:cup:cbooks:9780521477451 is not listed on IDEAS
  4. Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November.
  5. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  6. Dufour, J.M., 1979. "Rank Tests for Serial Dependence," Cahiers de recherche 7815, Universite de Montreal, Departement de sciences economiques.
  7. Jean-Marie Dufour & Joanna Jasiak, 2000. "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," Econometric Society World Congress 2000 Contributed Papers 1536, Econometric Society.
  8. Peter C.B. Phillips, 1987. "Partially Identified Econometric Models," Cowles Foundation Discussion Papers 845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
  9. Dufour, J.M. & Campbell, B., 1993. "Exact Nonparametric Orthogonality and Random Walk Tests," Cahiers de recherche 9326, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  10. 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.
  11. Nelson, C. & Startz, R., 1988. "The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One," Working Papers 88-07, University of Washington, Department of Economics.
  12. Charles Nelson & Richard Startz & Eric Zivot, 2000. "Improved Inference for the Instrumental Variables Estimator," Econometric Society World Congress 2000 Contributed Papers 1600, Econometric Society.
  13. McManus, Douglas A. & Nankervis, John C. & Savin, N. E., 1994. "Multiple optima and asymptotic approximations in the partial adjustment model," Journal of Econometrics, Elsevier, vol. 62(2), pages 91-128, June.
  14. Jon Faust, 1996. "Theoretical confidence level problems with confidence intervals for the spectrum of a time series," International Finance Discussion Papers 575, Board of Governors of the Federal Reserve System (U.S.).
  15. Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Working Papers 88-06, University of Washington, Department of Economics.
  16. Nelson, C.R. & Startz, R. & Zivot, E., 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Working Papers 96-15, University of Washington, Department of Economics.
  17. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
  18. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  19. Alastair R. Hall & Glenn D. Rudebusch & David W. Wilcox, 1994. "Judging instrument relevance in instrumental variables estimation," Finance and Economics Discussion Series 94-3, Board of Governors of the Federal Reserve System (U.S.).
  20. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April.
  21. ABDELKHALEK, Touhami & DUFOUR, Jean-Marie, 1997. "Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy," Cahiers de recherche 9713, Universite de Montreal, Departement de sciences economiques.
  22. Jiahui Wang & Eric Zivot, 1998. "Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 66(6), pages 1389-1404, November.
  23. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  24. Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept.
  25. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  26. Campbell, B. & Dufour, J.M., 1994. "Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter," Cahiers de recherche 9407, Universite de Montreal, Departement de sciences economiques.
  27. repec:cup:cbooks:9780521477444 is not listed on IDEAS
  28. Faust, Jon, 1996. "Near Observational Equivalence and Theoretical size Problems with Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 12(04), pages 724-731, October.
  29. Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-80, January.
  30. In Choi & Peter C.B. Phillips, 1989. "Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations," Cowles Foundation Discussion Papers 929, Cowles Foundation for Research in Economics, Yale University.
  31. Wouter J. Den Haan & Andrew T. Levin, 1996. "A Practitioner's Guide to Robust Covariance Matrix Estimation," NBER Technical Working Papers 0197, National Bureau of Economic Research, Inc.
  32. John Bound & David A. Jaeger & Regina Baker, 1993. "The Cure Can Be Worse than the Disease: A Cautionary Tale Regarding Instrumental Variables," NBER Technical Working Papers 0137, National Bureau of Economic Research, Inc.
  33. repec:cup:cbooks:9780521471626 is not listed on IDEAS
  34. Dufour, Jean-Marie & Jasiak, Joann, 2001. "Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(3), pages 815-43, August.
  35. repec:cup:cbooks:9780521405515 is not listed on IDEAS
  36. Sims, Christopher A, 1971. "Discrete Approximations to Continuous Time Distributed Lags in Econometrics," Econometrica, Econometric Society, vol. 39(3), pages 545-63, May.
  37. Maddala, G S & Jeong, Jinook, 1992. "On the Exact Small Sample Distribution of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 60(1), pages 181-83, January.
  38. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
Full references (including those not matched with items on IDEAS)

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:cir:cirwor:2001s-40. 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: (Webmaster)

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.