Small Concentration Asymptotics and Instrumental Variables Inference

Donald Poskitt and Christopher Skeels

No 948, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: Poskitt and Skeels (2005) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. We present approximations to the sampling distributions of various functions of the IV estimator based upon small-concentration asymptotics, and investigate hypothesis testing procedures and confidence region construction using these approximations. We explore the relationship between our work and the K statistic of Kleibergen (2002) and demonstrate that our results can be used to explain the sampling behaviour of the K statistic in simultaneous equations models where identification is weak.

Keywords: simultaneous equations model; IV estimator; weak identification; weak instruments; small-concentration asymptotics (search for similar items in EconPapers)
JEL-codes: C10 C12 C13 C30 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2005
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Working Paper: Small Concentration Asymptotics and Instrumental Variables Inference (2005)
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