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My bibliography Save this paperAssessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model
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- D. S. Poskitt & C. L. Skeels, 2009. "Assessing the magnitude of the concentration parameter in a simultaneous equations model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 26-44, March.
References listed on IDEAS
- D. S. Poskitt & C. L. Skeels, 2004. "Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small," Monash Econometrics and Business Statistics Working Papers 19/04, Monash University, Department of Econometrics and Business Statistics.
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"Judging Instrument Relevance in Instrumental Variables Estimation,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 283-298, May.
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- Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
- Mariano, Roberto S, 1982. "Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 503-533, October.
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- Peter C.B. Phillips, 1982. "Exact Small Sample Theory in the Simultaneous Equations Model," Cowles Foundation Discussion Papers 621, Cowles Foundation for Research in Economics, Yale University.
Citations
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- Pham, Vivienne & Prentice, David, 2010. "An empirical analysis of the counterfactual: a merger and divestiture in the Australian cigarette industry," MPRA Paper 26713, University Library of Munich, Germany.
- Vivienne Pham & David Prentice, 2010. "An empirical Analysis of the Counter-factual: A Merger and Divestiture in the Australian Cigarette Industry," Working Papers 2010.08 EDIRC Provider-In, School of Economics, La Trobe University.
- Tchatoka, Firmin Doko, 2015.
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- Doko Tchatoka, Firmin, 2010. "Subset hypotheses testing and instrument exclusion in the linear IV regression," MPRA Paper 29611, University Library of Munich, Germany, revised 02 Feb 2012.
- Firmin Doko Tchatoka, 2011. "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers 10668, University of Tasmania, Tasmanian School of Business and Economics.
- Matthew C. Harding & Jerry Hausman & Christopher Palmer, 2015. "Finite sample bias corrected IV estimation for weak and many instruments," CeMMAP working papers CWP41/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Poskitt, D.S. & Skeels, C.L., 2007. "Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small," Journal of Econometrics, Elsevier, vol. 139(1), pages 217-236, July.
- Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics," Papers 2302.14423, arXiv.org.
- Don S. Poskitt, 2020. "On GMM Inference: Partial Identification, Identification Strength, and Non-Standard," Monash Econometrics and Business Statistics Working Papers 40/20, Monash University, Department of Econometrics and Business Statistics.
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More about this item
Keywords
Concentration parameter; simultaneous equations model; alienation coefficient; Wilks-lambda distribution; admissible invariant test.;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-06-05 (Econometrics)
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