TESTING IDENTIFIABILITY AND SPECIFICATION IN INSTRUMENTAL VARIABLE MODELS

Authors
CRAGG JG DONALD SG
Citation
Jg. Cragg et Sg. Donald, TESTING IDENTIFIABILITY AND SPECIFICATION IN INSTRUMENTAL VARIABLE MODELS, Econometric theory, 9(2), 1993, pp. 222-240
Citations number
19
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods
Journal title
Econometric theory → ACNP
ISSN journal
02664666
Volume
9
Issue
2
Year of publication
1993
Pages
222 - 240
Database
ISI
SICI code
0266-4666(1993)9:2<222:TIASII>2.0.ZU;2-G
Abstract
The paper develops and explores tests, based on standard moment specif ications, for the identifiability of parameters apparently estimable b y instrumental variables. An asymptotic expansion under standard restr ictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates tha t the tests are of use.