TESTING IDENTIFIABILITY AND SPECIFICATION IN INSTRUMENTAL VARIABLE MODELS

被引：743
|
作者：
CRAGG, JG [1 ]
DONALD, SG [1 ]
机构：
[1] UNIV FLORIDA,GAINESVILLE,FL 32611
来源：
ECONOMETRIC THEORY | 1993年 / 9卷 / 02期
关键词：
D O I：
10.1017/S0266466600007519
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.
引用
收藏
页码：222 / 240
页数：19
相关论文
共 50 条
  • [41] IDENTIFIABILITY AND DISTINGUISHABILITY TESTING FOR LINEAR-MODELS IN HETEROGENEOUS CATALYSIS
    WALTER, E
    LECOURTIER, Y
    KAO, JY
    HAPPEL, J
    [J]. CHEMICAL ENGINEERING COMMUNICATIONS, 1989, 83 : 157 - 172
  • [42] Testing parametric models in the presence of instrumental variables
    Holzmann, Hajo
    [J]. STATISTICS & PROBABILITY LETTERS, 2008, 78 (06) : 629 - 636
  • [43] PRACTICAL DIFFICULTIES IN TESTING IDENTIFIABILITY OF LINEAR STRUCTURAL MODELS - REPLY
    BROWN, RF
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1980, 25 (01) : 142 - 142
  • [44] Identifiability of Models for Multiple Diagnostic Testing in the Absence of a Gold Standard
    Jones, Geoffrey
    Johnson, Wesley O.
    Hanson, Timothy E.
    Christensen, Ronald
    [J]. BIOMETRICS, 2010, 66 (03) : 855 - 863
  • [45] On specification testing of ordered discrete choice models
    Mora, Juan
    Moro-Egido, Ana I.
    [J]. JOURNAL OF ECONOMETRICS, 2008, 143 (01) : 191 - 205
  • [46] Adaptive Testing for Specification Coverage in CPS Models
    Bartocci, Ezio
    Bloem, Roderick
    Maderbacher, Benedikt
    Manjunath, Niveditha
    Nickovic, Dejan
    [J]. IFAC PAPERSONLINE, 2021, 54 (05): : 229 - 234
  • [47] Solutions to specification errors in stress testing models
    Breeden, Joseph L.
    Thomas, Lyn
    [J]. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2016, 67 (06) : 830 - 840
  • [48] GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS
    Bera, Anil K.
    Montes-Rojas, Gabriel
    Sosa-Escudero, Walter
    [J]. ECONOMETRIC THEORY, 2010, 26 (06) : 1838 - 1845
  • [49] SPECIFICATION TESTING FOR ERRORS-IN-VARIABLES MODELS
    Otsu, Taisuke
    Taylor, Luke
    [J]. ECONOMETRIC THEORY, 2021, 37 (04) : 747 - 768
  • [50] Specification testing in nonstationary time series models
    Chen, Jia
    Gao, Jiti
    Li, Degui
    Lin, Zhengyan
    [J]. ECONOMETRICS JOURNAL, 2015, 18 (01): : 117 - 136
12345