Some Properties of Tests for Possibly Unidentified Parameters
نویسنده
چکیده
It is well known that confidence intervals for weakly identified parameters are unbounded with positive probability (e.g. Dufour, Econometrica 65, pp. 1365-1387 and Staiger and Stock, Econometrica 65, pp. 557-586), and that the asymptotic risk of their estimators is unbounded (Pötscher, Econometrica 70, pp.1035-1065). In this note we extend these “impossibility results” and show that uniformly consistent tests for weakly identified parameters do not exist. We also show that all similar tests of size 1/ 2 α < concerning possibly unidentified parameters have type II error probability that can be as large as 1 α − . JEL Classification: C12, C30
منابع مشابه
HYPOTHESIS TESTING FOR AN EXCHANGEABLE NORMAL DISTRIBUTION
Consider an exchangeable normal vector with parameters ????2, and ?. On the basis of a vector observation some tests about these parameters are found and their properties are discussed. A simulation study for these tests and a few nonparametric tests are presented. Some advantages and disadvantages of these tests are discussed and a few applications are given.
متن کاملGmm Estimation and Uniform Subvector Inference with Possible Identification Failure
This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CSs) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The...
متن کاملGmm Estimation and Uniform Subvector Inference with Possible Identification Failure By
This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CSs) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The...
متن کاملSome Properties of Tests for Parameters That Can Be Arbitrarily Close to Being Unidentified
Confidence intervals for parameters that can be arbitrarily close to being unidentified are unbounded with positive probability (e.g. Dufour, Econometrica 65, pp. 1365-1387 and Pfanzagl, Journal of Statistical Planning and Inference, 75, pp. 9-20), and the asymptotic risks of their estimators are unbounded (Pötscher, Econometrica 70, pp. 1035-1065). We extend these “impossibility results” and s...
متن کاملThe prediction of compressive strength of travertines with special reference to laminae-orientation using index tests
In this research, different experimental techniques have been used to determine the strength of four types of travertines, selected from Hamedan and Markazi Provinces, west and central parts of Iran respectively. For this purpose, after sample preparation and assessment of mineral properties, the selected samples were subjected to physical and mechanical tests with special reference to two majo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2005