Identification, weak instruments, and statistical inference in econometrics

Jean-Marie Dufour ()

Canadian Journal of Economics, 2003, vol. 36, issue 4, 767-808

Abstract: We discuss statistical inference problems associated with identification and testability in econometrics. We consider inference in non-parametric models and weakly identified structural models (weak instruments). We point out that many statistical problems, such as non-testable hypotheses, occur in these areas and are typically associated with asymptotic approximations. In non-parametric models, such problems include testing moments and inference under heteroscedasticity or serial dependence of unknown form. For weakly identified structural models, difficulties are typically associated with improper pivots, and we review recent developments aimed at proposing more reliable procedures, including alternative proposed statistics, bounds, projection, split-sampling, conditioning, Monte Carlo tests.

JEL-codes: C1 C12 C14 C15 C3 C5 (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (154)

Downloads: (external link)
https://doi.org/10.1111/1540-5982.t01-3-00001 (text/html)
access restricted to subscribers

Related works:
Working Paper: Identification, Weak Instruments and Statistical Inference in Econometrics (2003)
Working Paper: Identification, Weak Instruments and Statistical Inference in Econometrics (2003)
Working Paper: Identification, Weak Instruments and Statistical Inference in Econometrics (2003)
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: https://EconPapers.repec.org/RePEc:cje:issued:v:36:y:2003:i:4:p:767-808

Ordering information: This journal article can be ordered from
https://www.economic ... ionen/membership.php

Access Statistics for this article

Canadian Journal of Economics is currently edited by Zhiqi Chen

More articles in Canadian Journal of Economics from Canadian Economics Association Canadian Economics Association Prof. Werrner Antweiler, Treasurer UBC Sauder School of Business 2053 Main Mall Vancouver, BC, V6T 1Z2. Contact information at EDIRC.
Bibliographic data for series maintained by Prof. Werner Antweiler ().