Ill-posed Problems and Instruments' Weakness

Grant Hillier and Giovanni Forchini

No 357, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: Potscher (Econometrica, 2002) has pointed out that several estimation problems in econometrics are ill-posed. This paper further studies the nature of ill-posed problems in parametric models. Our starting point is that both parameters and estimators may be seen as maps from the manifold of density functions to an m-dimensional Euclidean space, and we investigate the properties that these maps have to transmit perturbations. In the special case of structural equations models, we argue that this framework provides coherent measures of instruments' weakness

Keywords: Ill-posed Problems; Weak Instruments; Parametric Models (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-08-11
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