Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations

DOI10.1016/0304-4076(92)90032-MzbMath0771.62012OpenAlexW2079633159MaRDI QIDQ1186050

S. Singh

Publication date: 28 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90032-m

zbMATH Keywords

identification problemsimulationsWald statisticsasymptotic densitiessimultaneous equations modelstructural equationfinite sample densitiesinstrumental variable estimatorspartially identified modelsrotation of coordinates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Related Items (26)

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction ⋮ Further results on projection-based inference in IV regressions with weak, collinear or missing instruments ⋮ Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small ⋮ Testing conditional symmetry without smoothing ⋮ GLOBAL IDENTIFICATION IN NONLINEAR MODELS WITH MOMENT RESTRICTIONS ⋮ SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION ⋮ Some properties of tests for parameters that can be arbitrarily close to being unidentified ⋮ DETECTING LACK OF IDENTIFICATION IN GMM ⋮ CONDITIONAL INFERENCE FOR POSSIBLY UNIDENTIFIED STRUCTURAL EQUATIONS ⋮ ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS ⋮ Robust and optimal estimation for partially linear instrumental variables models with partial identification ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment ⋮ A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORE TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION ⋮ Inference in partially identified heteroskedastic simultaneous equations models ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis ⋮ Underidentification? ⋮ Maximum likelihood estimation and uniform inference with sporadic identification failure ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION ⋮ Efficient GMM with nearly-weak instruments ⋮ The asymptotic distribution of Nagar's bias-adjusted TSLS estimator under partial identifica\-tion ⋮ Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior ⋮ Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification ⋮ GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE ⋮ PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS

Cites Work

• The exact distribution of exogenous variable coefficient estimators
• The death of a mathematical theory. A study in the sociology of knowledge
• The Exact Distribution of LIML: I
• The Exact Distribution of LIML: II
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations