Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
نویسندگان
چکیده
منابع مشابه
The Asymptotic Distribution of Tests for Over-identification in Partially Identified Linear Structural Equations
We study the asymptotic distribution of the statistics suggested by Sargan/Byron/Wegge and Basmann for testing for over-identification in partially identified linear structural equations and derive closed form expressions for their asymptotic densities. These allow us to understand the asymptotic behaviour of these statistics in cases where identification of the structural parameters fails. We ...
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چکیده: فرض کنید که تابعی از اپسیلون یک مجموع نامتناهی از احتمالات موزون مربوط به مجموع های جزئی براساس یک دنباله از متغیرهای تصادفی مستقل و همتوزیع باشد، و همچنین فرض کنید توابعی مانند g و h وجود دارند که هرگاه امید ریاضی توان دوم x متناهی و امیدریاضی x صفر باشد، در این صورت می توان حد حاصلضرب این توابع را بصورت تابعی از امید ریاضی توان دوم x نوشت. حالت عکس نیز برقرار است. همچنین ما با استفاده...
15 صفحه اولTests for Over-identifying Restrictions in Partially Identified Linear Structural Equations
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 ...
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In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justi able and when. Assuming data stationarity and existence of the rst four moments of the disturbances we nd the limiting distribution of the ordinary least-squares (OLS) estimator in a linear simultaneous equations model. In simple static and dy...
متن کاملThe Asymptotic Distribution of the LIML Estimator in a Partially Identified Structural Equation
We derive a closed form expression for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structural equation. We extend previous results of Phillips (1989) and Choi and Phillips (1992) where the focus was on IV estimators. We show that partial failure of identification affects the LIML in that its m...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1992
ISSN: 0304-4076
DOI: 10.1016/0304-4076(92)90032-m