The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models
The fact that weak instruments lead to spurious inference is now widely recognized. In this paper we ask whether spurious inference occurs more generally in weakly identified models. To distinguish between models where spurious inference will occur from those where it does not, we introduce the Zero-Information-Limit-Condition (ZILC). When ZILC holds, the information or precision of parameter estimates is overestimated. We discuss how ZILC applies to models encountered in practice and show that spurious inference does occur when ZILC holds.
|Date of creation:||Feb 2004|
|Publication status:||Forthcoming in Journal of Econometrics|
|Contact details of provider:|| Postal: Box 353330, Seattle, WA 98193-3330|
Web page: http://www.econ.washington.edu/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:udb:wpaper:uwec-2004-03-fc. 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: (Michael Goldblatt)
If references are entirely missing, you can add them using this form.