TESTING IDENTIFIABILITY AND SPECIFICATION IN INSTRUMENTAL VARIABLE MODELS

被引：805

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

页码：222 / 240

页数：19

共 19 条

[1] ESTIMATION OF THE PARAMETERS OF A SINGLE EQUATION IN A COMPLETE SYSTEM OF STOCHASTIC EQUATIONS [J].