Testing Identifiability and Specification in Instrumental Variable Models

John G. Cragg and Stephen G. Donald

Econometric Theory, 1993, vol. 9, issue 02, pages 222-240

Abstract: 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.

Date: 1993
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600007519 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().