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Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations

  • Giovanni Forchini

    ()

Cragg and Donald (1996) have pointed out that the asymptotic size of tests for overidentifying restrictions can be much smaller than the asymptotic nominal size when the structural equation is partially identified. This may lead to misleading inference if the critical values are obtained from a chi-square distribution. To overcome this problem we derive the exact asymptotic distribution of the Byron test statistic. This allows the calculation of asymptotic critical values and p-values corrected for possible failure of identification.

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File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2006/wp20-06.pdf
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Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 20/06.

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Length: 24 pages
Date of creation: Nov 2006
Date of revision:
Handle: RePEc:msh:ebswps:2006-20
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  1. Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November.
  2. Choi, In & Phillips, Peter C. B., 1992. "Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 113-150.
  3. Robin, Jean-Marc & Smith, Richard J., 2000. "Tests Of Rank," Econometric Theory, Cambridge University Press, vol. 16(02), pages 151-175, April.
  4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  5. Phillips, P.C.B., 1989. "Partially Identified Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(02), pages 181-240, August.
  6. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  7. Byron, R P, 1974. "Testing Structural Specification Using the Unrestricted Reduced Form," Econometrica, Econometric Society, vol. 42(5), pages 869-83, September.
  8. Hillier, Grant, 2006. "Yet More On The Exact Properties Of Iv Estimators," Econometric Theory, Cambridge University Press, vol. 22(05), pages 913-931, October.
  9. Hillier, Grant H., 1985. "On the Joint and Marginal Densities of Instrumental Variable Estimators in a General Structural Equation," Econometric Theory, Cambridge University Press, vol. 1(01), pages 53-72, April.
  10. Hillier, Grant H, 1990. "On the Normalization of Structural Equations: Properties of Direct Estimators," Econometrica, Econometric Society, vol. 58(5), pages 1181-94, September.
  11. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  12. Hausman, Jerry A., 1983. "Specification and estimation of simultaneous equation models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 7, pages 391-448 Elsevier.
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